[1]
Asako, K. and Liu, Z.T. (2013) A Statistical Moddel of Speculative Bubbles, with Applications to the Stock Markets of the United States, Japan, and China. Journal of Banking & Finance, 37, 2639-2651.
http://dx.doi.org/10.1016/j.jbankfin.2013.02.015
[2]
Engle, R.F. and Granger, C.W.J. (1987) Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 251-276.
http://dx.doi.org/10.2307/1913236
[3]
Asako, K., Zhang, Y. and Liu, Z.T. (2014) The Comovement in Stock Price Indexes of Japan, United States, and China: Estimation of a Nonlinear Cointe-gration. Economic Review, 65, 56-85 (in Japanese).
[4]
Asako, K., Kanoh, S. and Sano, H. (1990) Stock Price and Bubble. In: Nishimura, K. and Miwa, Y., Eds., Stock and Land Prices in Japan—Mechanism of Price Determination, University of Tokyo Press, 57-86 (in Japanese).
[5]
Liu, Z.T., Asako, K. and Kanoh, S. (2011) Estimation of Speculative Bubble—Application to the Stock Markets of Japan, the United States and China. In: Asakoand, K. and Watanabe T., Eds., Econometrical Analyses of Finance and Business Cycle, Minerva Shobou, 9-34 (in Japanese).
[6]
Blanchard, O.J. and Watson, M. (1982) Bubbles, Rational Expectations and Financial Markets. In: Wachtel, P., Ed., Crises in the Economic and Financial Structure, Lexington Books, 295-315.
[7]
Harrison, P.J. and Stevens, C.F. (1976) Bayesian Forcasting (with Discussion). Journal of the Royal Statistical Society: Series B, 38, 205-247.
