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Keywords: GSADF
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Journal Articles
Detecting and analyzing explosive bubbles and their relationship with volatility: evidence from Tunisia
Open Access
Journal:
RAUSP Management Journal
RAUSP Management Journal (2025) 60 (1): 92–107.
Published: 02 May 2025
... Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests, alongside Monte Carlo and bootstrap simulations (Sieve-bootstrap and Wild-bootstrap), to detect speculative bubbles. The Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity model is used to analyze...
