dc.contributor.author | Yüksel, Sadettin Aydın | en_US |
dc.contributor.author | Akdeniz, Levent | en_US |
dc.contributor.author | Altay Salih, Aslıhan | en_US |
dc.date.accessioned | 2015-01-15T23:01:34Z | |
dc.date.available | 2015-01-15T23:01:34Z | |
dc.date.issued | 2010-12-01 | |
dc.identifier.citation | Yüksel, A., Akdeniz, L. & Altay Salih, A. (2010). On the performance of West’s bubble test: A simulation approach. Applied Mathematics and Computation, 217(7), 3236-3247. doi:10.1016/j.amc.2010.08.056 | en_US |
dc.identifier.issn | 0096-3003 | |
dc.identifier.issn | 1873-5649 | |
dc.identifier.uri | https://hdl.handle.net/11729/353 | |
dc.identifier.uri | http://dx.doi.org/10.1016/j.amc.2010.08.056 | |
dc.description.abstract | In 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 efficient 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.iso | eng | en_US |
dc.publisher | Elsevier science inc | en_US |
dc.relation.isversionof | 10.1016/j.amc.2010.08.056 | |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Speculative bubble test | en_US |
dc.subject | Present value model | en_US |
dc.subject | Asset pricing | en_US |
dc.subject | Stock-prices | en_US |
dc.subject | Intrinsic bubbles | en_US |
dc.subject | Rational bubbles | en_US |
dc.subject | Model | en_US |
dc.subject | Fundamentals | en_US |
dc.subject | Economy | en_US |
dc.subject | Too | en_US |
dc.subject | Costs | en_US |
dc.subject | Economics | en_US |
dc.subject | Optimization | en_US |
dc.subject | Profitability | en_US |
dc.subject | Testing | en_US |
dc.subject | Asset prices | en_US |
dc.subject | Bubble test | en_US |
dc.subject | General equilibrium models | en_US |
dc.subject | Present value | en_US |
dc.subject | Simulated data | en_US |
dc.subject | Simulation approach | en_US |
dc.subject | Simulation studies | en_US |
dc.subject | Computer simulation | en_US |
dc.title | On the performance of West's bubble test: A simulation approach | en_US |
dc.type | article | en_US |
dc.description.version | Publisher's Version | en_US |
dc.relation.journal | Applied Mathematics and Computation | en_US |
dc.contributor.department | Işık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | en_US |
dc.contributor.department | Işık University, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.contributor.authorID | 0000-0001-9428-0426 | |
dc.identifier.volume | 217 | |
dc.identifier.issue | 7 | |
dc.identifier.startpage | 3236 | |
dc.identifier.endpage | 3247 | |
dc.peerreviewed | Yes | en_US |
dc.publicationstatus | Published | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.contributor.institutionauthor | Yüksel, Sadettin Aydın | en_US |
dc.relation.index | WOS | en_US |
dc.relation.index | Scopus | en_US |
dc.relation.index | Science Citation Index Expanded (SCI-EXPANDED) | en_US |
dc.relation.index | Social Sciences Citation Index (SSCI) | en_US |
dc.description.quality | Q1 | |
dc.description.wosid | WOS:000283442400032 | |