A new stock-price bubble with stochastically deflating trajectories
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
Zitieren als
Rotermann, B., & Wilfling, B. (2018). A new stock-price bubble with stochastically deflating trajectories. Applied Economics Letters, 25(15), 1091–1096.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2018
Fachzeitschrift
Applied Economics Letters
Band
25
Ausgabe
15
Erste Seite
1091
Letzte Seite
1096
Sprache
Englisch
ISSN
1350-4851
DOI