A new stock-price bubble with stochastically deflating trajectories
Rotermann Benedikt, Wilfling Bernd
Abstract
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.
Keywords
Present-value model; Evans bubble; incompletely bursting bubble; stock-; price volatility; particle-filter estimation
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2018
Journal
Applied Economics Letters
Volume
25
Issue
15
Start page
1091
End page
1096
Language
English
ISSN
1350-4851
DOI