In this paper we use a state-space model with Markov-switching to detect speculative bubbles in stock-price data. To this end we express a present-value stock-price model in state-space form which we estimate using the Kalman filter. This procedure enables us to estimate a two-regime...

Zusammenfassung Die vorliegende Arbeit analysiert die Wechselkursdynamik eines glaubwürdig angekündigten, zeitlich fest anvisierten Übergangs von flexiblen zu festen Wechselkursen auf der Grundlage eines monetären Wechselkursmodells mit flexiblen Preisen. Verschiedene währungspolitische...

We analyze the dynamics of zero-coupon bond options in a situation in which the currently floating exchange rate between two countries' currencies is announced to be fixed on a given future date. To this end, we combine two strands of research that have been treated as separate issues up to...

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.

Motivated by repeated spikes and crashes during previous decades we investigate whether the heavily financialized market for crude oil has been driven by speculative bubbles. In our theoretical modeling we draw on the convenience yield approach in order to approximate the fundamental value of...

This paper presents a new view on the gold price of greenbacks during and after the American Civil War by analyzing exchange-rate volatility rather than exchange-rate levels. Our empirical investigation detects regimes of high and low volatility alternating in a way that is consistent with a...

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique...

This paper examines shifts in the market betas and the conditional volatility of stock prices of takeover targets. Using daily stock prices of five European and American targets, we find that adequately specified Markov-switching GARCH models are capable of detecting statistically significant...