Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed test has a nuisance-parameter-free asymptotic distribution and is easy to implement. We study the size and power properties of the test in Monte Carlo simulations. A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime. Conditions under which the real-time date-stamping strategy is consistent are established. The test and the date-stamping strategy are applied to study explosive behavior in cryptocurrency and stock markets.

翻译：基于具有线性漂移的连续时间随机波动率模型，我们提出了一种在低频资产价格中检测金融资产价格爆炸性行为的检验方法，该方法利用高频采样数据中的波动率信息。该检验通过对数资产价格增量去波动化处理（使用已实现波动率测量），并对去波动化样本执行上确界型递归迪基-富勒检验。所提出的检验具有不受干扰参数影响的渐近分布，且易于实现。我们通过蒙特卡洛模拟研究了该检验的规模与功效特征。基于去波动化样本，提出了一种实时日期标记策略，用于标识爆炸性机制的起始与结束日期，并建立了该策略一致性的充分条件。该检验与日期标记策略被应用于加密货币和股票市场的爆炸性行为研究。