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Testing explosive bubbles with time-varying volatility: The case of Spanish public debt

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dc.contributor.author	Esteve García, Vicente
dc.contributor.author	Prats Albentosa, María A.
dc.date.accessioned	2023-03-14T10:22:23Z
dc.date.available	2023-03-15T05:45:06Z
dc.date.issued	2023	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/85788
dc.description.abstract	In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850–2021. We use recent procedures to test for explosive bubbles in the presence under time- varying volatility (Harvey et al., 2016; Harvey et al., 2019, 2020; Kurozumi et al., 2022) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process.	es_ES
dc.language.iso	en	es_ES
dc.publisher	Elsevier	es_ES
dc.source	Esteve,Vicente; Prats,María A. Testing explosive bubbles with time-varying volatility: The case of Spanish public debt. Finance Res. Lett., 51. (2023).	es_ES
dc.subject	public debt	es_ES
dc.subject	rational bubble	es_ES
dc.subject	explosive autoregression	es_ES
dc.subject	time-varying volatility	es_ES
dc.subject	right-tailed unit root testing	es_ES
dc.title	Testing explosive bubbles with time-varying volatility: The case of Spanish public debt	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	https://doi.org/10.1016/j.frl.2022.103330	es_ES
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES