Periodically collapsing Evans bubbles and stock-price volatility

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.

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Year of publication:	2014
Authors:	Rotermann, Benedikt ; Wilfling, Bernd
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 3, p. 383-386
Publisher:	Elsevier
Subject:	Present-value model \| Evans bubble \| Conditional volatility \| Particle-filter estimation

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776615