A new stock-price bubble with stochastically deflating trajectories
Rotermann Benedikt, Wilfling Bernd
Zusammenfassung
We propose a new, rational stock-price bubble that is able to generate recurringly explosive and stochastically deflating trajectories. Our flexible bubble process entails stock-price volatility dynamics that are consistent with real-world data. To demonstrate this, we fit our bubble specification to NASDAQ data and analyze the volatility dynamics.
Schlüsselwörter
Present-value model; Evans bubble; incompletely bursting bubble; stock-price volatility; particle-filter estimation
Publikationstyp
Arbeitspapier / Working Paper
Begutachtet
Nein
Publikationsstatus
Veröffentlicht
Jahr
2017
Band
58/2017
Reihe
CQE-Working-Papers
Verlag
Center for Quantitative Economics (CQE), University of Muenster
Ort
University of Muenster
Sprache
Englisch