psymonitor

R package psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis. Apply the popular real-time monitoring strategy proposed by Phillips, Shi and Yu (2015a,b;PSY) <doi:10.1111/iere.12132>, <doi:10.1111/iere.12131>, along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control in recursive testing algorithms (Phillips and Shi, forthcoming).

Keywords for this software

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References in zbMATH (referenced in 6 articles , 1 standard article )

Showing results 1 to 6 of 6.
Sorted by year (citations)

  1. Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc: A time-varying parameter model for local explosions (2022)
  2. Anyfantaki, Sofia; Arvanitis, Stelios; Topaloglou, Nikolas: Diversification benefits in the cryptocurrency market under mild explosivity (2021)
  3. Başoğlu Kabran, Fatma; Ünlü, Kamil Demirberk: A two-step machine learning approach to predict S&P 500 bubbles (2021)
  4. Harvey, David I.; Leybourne, Stephen J.; Zu, Yang: Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility (2020)
  5. Phillips, Peter C. B.; Shi, Shuping: Real time monitoring of asset markets: bubbles and crises (2020)
  6. Vinod, Hrishikesh D. (ed.); Rao, C. R. (ed.): Financial, macro and micro econometrics using R (2020)