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dc.contributor.authorYuksel, A.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.date.accessioned2015-07-28T11:59:39Z
dc.date.available2015-07-28T11:59:39Z
dc.date.issued2010-12-01en_US
dc.identifier.issn0096-3003
dc.identifier.urihttp://hdl.handle.net/11693/12003
dc.description.abstractIn this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is effi- cient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizing behavior of consumers and the profit-maximizing behavior of firms. We find that the West’s bubble test flag as ‘‘bubbles” in the simulated data yet the data is produced from an economy in which markets are efficient in welfare production.en_US
dc.language.isoEnglishen_US
dc.source.titleApplied Mathematics and Computationen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.amc.2010.08.056en_US
dc.subjectSpeculative bubble testen_US
dc.subjectPresent value modelen_US
dc.subjectAsset pricingen_US
dc.titleOn the performance of West's bubble test: a simulation approachen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage3236en_US
dc.citation.epage3247en_US
dc.citation.volumeNumber217en_US
dc.citation.issueNumber7en_US
dc.identifier.doi10.1016/j.amc.2010.08.056en_US
dc.publisherElsevieren_US


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