A new stock-price bubble with stochastically deflating trajectories

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.

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Year of publication:	2017
Authors:	Rotermann, Benedikt ; Wilfling, Bernd
Publisher:	Kiel, Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

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Series:	Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Econometrics I ; F14-V2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Conference Paper
Language:	English
Other identifiers:	hdl:10419/168210 [Handle] RePEc:zbw:vfsc17:168210 [RePEc]
Classification:	C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10011712723