Periodically Evans bubbles and stock-price volatility
Rotermann Benedikt, Wilfling Bernd
Abstract
This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.
Keywords
Present-value model; Evans bubble; conditional volatility; particle-filter estimation
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2014
Journal
Economics Letters
Volume
123
Issue
3
Start page
383
End page
386
Language
English
ISSN
0165-1765