Bubbles in financial markets
Basic data for this project
Type of project: Own resources project
Duration at the University of Münster: since 01/01/2020
Description
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.
Keywords: Econometrics; time series analysis; speculative bubbles; international fnancial markets
Project management at the University of Münster
| Branger, Nicole | Chair of Derivatives and Financial Engineering (Prof. Branger) |
| Trede, Mark | Professur für VWL, Ökonometrie/Wirtschaftsstatistik (Prof. Trede) |
| Wilfling, Bernd | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) |
Research associates from the University of Münster
| Monschang, Verena | Chair of Empirical Economics |