A new stock-price bubble with stochastically deflating trajectories |
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| Authors: | Benedikt Rotermann |
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| Institution: | 1. Westf?lische Wilhelms-Universit?t Münster, Department of Economics (CQE), Münster, Germanyb_rotermann@web.de bernd.wilfling@wiwi.uni-muenster.de |
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| Abstract: | 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 analyse the volatility dynamics. |
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| Keywords: | Present-value model Evans bubble incompletely bursting bubble stock-price volatility particle-filter estimation |
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