Detecting and Explaining NASDAQ Bubbles: Evidence from GSADF Tests and a DSGE–Asset Pricing Model
This paper provides a timely detection method of an emerging bubble in the NASDAQ Composite Index using the Generalized Supremum Augmented Dickey-Fuller test. The detected bubbles are then analyzed with the help of a Dynamic Stochastic General Equilibrium–Asset Pricing (AP) model, which combines economic fundamentals...