Periodically collapsing Evans bubbles and stock-price volatility

DOI10.1016/j.econlet.2014.03.023zbMath1293.91183OpenAlexW2074458682MaRDI QIDQ397964

Benedikt Rotermann, Bernd Wilfling

Publication date: 12 August 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_28_2013.pdf

zbMATH Keywords

conditional volatilityEvans bubbleparticle-filter estimationpresent-value model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• System Identification Toolbox

Cites Work

• System identification of nonlinear state-space models
• A stable estimator of the information matrix under EM for dependent data
• Sequential Monte Carlo Methods in Practice
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• Unnamed Item

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