A new stock-price bubble with stochastically deflating trajectories
Rotermann Benedikt, Wilfling Bernd
Working paper | Peer reviewedAbstract
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.
Details about the publication
Place of publication: University of Muenster
Title of series: CQE-Working-Papers
Volume of series: 58/2017
Status: Published
Release year: 2017 (16/01/2017)
Language in which the publication is written: English
Keywords: Present-value model; Evans bubble; incompletely bursting bubble; stock-price volatility; particle-filter estimation
Authors from the University of Münster
| Rotermann, Benedikt | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) |
| Wilfling, Bernd | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) |