Beare, B.K. (2018) Unit root testing with unstable volatility. Journal of Time Series Analysis, 39, 816–835.
Blanchard, O.J. & Watson, M.W. (1982) Bubbles, rational expectations and financial markets. In Wachtel, P. (ed.), Crises in the Economic and Financial Structure, pp. 295–316. Lexington Books.
Boldin, M.V. (2013). On qualitatively robust sign test in random walk model. Proceedings of the 10th International Conference ‘Computer Data Analysis and Modeling: Theoretical and Applied Stochastics’, Minsk, Volume 1, 194–197.
Campbell, B. & Dufour, J.-M. (1995) Exact nonparametric orthogonality and random walk tests. Review of Economics and Statistics 77, 1–16.
Campbell, J.Y., Lo, A.W.C., & MacKinlay, A.C. (1997) The Econometrics of Financial Markets. Princeton University Press.
Christoffersen, P.F. (2012) Elements of Financial Risk Management, 2nd ed. Academic Press.
Gourieroux, C. & Jasiak, J. (2018) Robust analysis of the martingale hypothesis. Discussion Paper, York University, Canada.
Granger, C.W.J. & Swanson, N.R. (1997). An introduction to stochastic unit-root processes. Journal of Econometrics 80, 35–62.
Harvey, D.I., Leybourne, S.J., & Taylor, A.M.R. (2009) Unit root testing in practice: Dealing with uncertainty over the trend and initial condition (with commentaries and rejoinder). Econometric Theory 25, 587–667.
Harvey, D.I., Leybourne, S.J., Sollis, R., & Taylor, A.M.R. (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance 38, 548–574.
Homm, U. & Breitung, J. (2012). Testing for speculative bubbles in stock markets: A comparison of alternative methods. Journal of Financial Econometrics 10, 198–231.
Phillips, P.C.B. & Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics 136, 115–130.
Phillips, P.C.B. & Shi, S.-P. (2018a) Financial bubble implosion and reverse regression. Econometric Theory 34, 705–753.
Phillips, P.C.B. & Shi, S.-P. (2018b) Real Time Monitoring of Asset Markets: Bubbles and Crises. Discussion Paper.
Phillips, P.C.B., Shi, S.-P., & Yu, J. (2014) Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics 76, 315–333.
Phillips, P.C.B., Shi, S.-P., & Yu, J. (2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review 56, 1043–1077.
Phillips, P.C.B., Wu, Y., & Yu, J. (2011) Explosive behavior in the 1990s Nasdaq: When did exuberance escalate stock values? International Economic Review 52, 201–226.
Rapach, D.E., Strauss, J.K., & Wohar, M.E. (2008) Forecasting stock return volatility in the presence of structural breaks. In Rapach, D.E. & Wohar, M.E. (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty, Emerald Series Frontiers of Economics and Globalization, vol. 3, pp. 381–416. Emerald.
Shi, S.-P., Hurn, S., & Phillips, P.C.B. (2018a) Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship. Discussion Paper.
Shi, S.-P., Phillips, P.C.B., & Hurn, S. (2018b) Change detection and the causal impact of the yield curve. Journal of Time Series Analysis 39, 966–987.
So, B.S. & Shin, D.W. (2001) An invariant sign test for random walks based on recursive median adjustment. Journal of Econometrics 102, 197–229.
Tsay, R.S. (2010) Analysis of Financial Time Series, 3rd ed. Wiley Series in Probability and Statistics. Wiley.
Van der Vaart, A.W. (2000) Asymptotic Statistics. Cambridge University Press.