14:00 - 15:30
Dr Emily Whitehouse, University of Sheffield
Lectures, talks and seminars
Essex Centre for Macro and Financial Econometrics (ECMFE) Research Seminar Series
Essex Business School
Professor Robert Taylor email@example.com
The Essex Centre for Macro and Financial Econometrics brings together academic and industry expertise from inside and outside the University of Essex to research and help solve important issues in financial markets.
Given the financial and economic damage that can be caused by the collapse of an asset price bubble, it is of critical importance to rapidly detect the onset of a crash once a bubble has been identified. We develop a real-time monitoring procedure for detecting a crash episode in a time series. We adopt an autoregressive framework, with bubble and crash regimes modelled by explosive and stationary dynamics respectively. The first stage of our approach is to monitor for a bubble; conditional on which, we monitor for a crash in real time as new data emerges. Our crash detection procedure employs a statistic based on the different signs of the means of the first differences associated with explosive and stationary regimes, and critical values are obtained using a training period of data. We show that the procedure has desirable asymptotic properties in terms of its ability to rapidly detect a crash while never indicating a crash earlier than one occurs. Monte Carlo simulations further demonstrate that our procedure can offer a well-controlled false positive rate during a bubble regime. Application to the US housing market demonstrates the efficacy of our procedure in rapidly detecting the house price crash of 2006.
This seminar will take place online on Tuesday 7 March at 2pm.
This seminar is free to attend. Please contact Professor Robert Taylor for the details on how to join.
Dr Emily Whitehouse is a Lecturer in Economics at the University of Sheffield. She obtained her PhD in Economics from the University of Nottingham in 2017, where she also completed an MSc in Economics and Econometrics in 2013. Emily’s research interests lie in time series and financial econometrics. She is particularly interested in explosive processes with applications to bubble detection, real-time monitoring, stochastic volatility and forecast evaluation.