Periodically Evans bubbles and stock-price volatility
Rotermann Benedikt, Wilfling Bernd
Research article (journal) | Peer reviewedAbstract
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.
Details about the publication
Journal: Economics Letters
Volume: 123
Issue: 3
Page range: 383-386
Status: Published
Release year: 2014
Language in which the publication is written: English
Keywords: Present-value model; Evans bubble; conditional volatility; particle-filter estimation
Authors from the University of Münster
| Rotermann, Benedikt | Chair of Empirical Economics |
| Wilfling, Bernd | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) Center for Nonlinear Science |