基于分数积分和广义关联的可加性生存模型分析标准普尔500指数板块的理性投机泡沫

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-12 DOI:10.1016/j.frl.2025.107759

Robinson Dettoni, Luis A. Gil-Alana, Cliff Bahamondes

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引用次数: 0

摘要

本研究的目的是通过将非参数持续时间依赖检验与分数积分模型相结合，检测标准普尔500指数子行业的理性投机泡沫。一个灵活的p样条危险函数，鲁棒的审查，确保精确的估计和贝叶斯置信区间。通过分析1989年10月至2023年6月的周数据和月数据，研究结果为特定细分行业和指数整体存在理性投机泡沫提供了实证证据。这是非参数危险函数的分数阶积分的第一个应用。

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Analyzing rational speculative bubbles in S&P 500 index sectors through fractional integration and generalized link-based additive survival models

This study aims to detect rational speculative bubbles in the sub-sectors of the S&P 500 index by integrating a non-parametric duration dependence test with fractional integration models. A flexible P-splines hazard function, robust to censoring, ensures precise estimation and Bayesian confidence intervals. Analyzing weekly and monthly data from October 1989 to June 2023, the findings provide empirical evidence of rational speculative bubbles in specific sub-sectors and the index as a whole. This is the first application of fractional integration with a non-parametric hazard function for this purpose.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance