Bubbles in financial markets

Grunddaten zu diesem Projekt

Beschreibung

Numerous articles are concerned with the empirical detection of bubbles in artificial and/or real-world financial data. While these bubble detection procedures are designed to support central-bank and fiscal regulators in policy decision-making, they are not suited (i) to assessing structural dynamic properties of real-world speculative bubbles, and (ii) to effectively disentangling the latent bubble process from the fundamental price process. It is our objective to establish a systematic approach to tackling these latter two issues by establishing a rigorous financial and econometric framework for estimating parametric stock-price bubbles.