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
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