Periodically collapsing Evans bubbles and stock-price volatility

DOI10.1016/J.ECONLET.2014.03.023zbMATH Open1293.91183OpenAlexW2074458682MaRDI QIDQ397964FDOQ397964

Authors: 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

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zbMATH Keywords

conditional volatilityEvans bubbleparticle-filter estimationpresent-value model

Mathematics Subject Classification ID

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

Cites Work

• System identification of nonlinear state-space models
• Sequential Monte Carlo Methods in Practice
• Title not available (Why is that?)
• A survey of sequential Monte Carlo methods for economics and finance
• A stable estimator of the information matrix under EM for dependent data

Cited In (3)

• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• The roles of extrinsic periodic information on the stability of stock price
• Time-aggregated information and stock price volatility

Uses Software

• System Identification Toolbox

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