Periodically collapsing Evans bubbles and stock-price volatility |
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| Authors: | Benedikt Rotermann Bernd Wilfling |
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| Affiliation: | Westfälische Wilhelms-Universität Münster, Department of Economics (CeNoS and CQE), Am Stadtgraben 9, 48143 Münster, Germany |
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| Abstract: | 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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| Keywords: | C1 G1 |
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