Periodically collapsing Evans bubbles and stock-price volatility

DOI10.1016/J.ECONLET.2014.03.023MaRDI QIDQ397964zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

conditional volatilityEvans bubbleparticle-filter estimationpresent-value model

Mathematics Subject Classification ID

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

Recommendations

• Periodically collapsing stock price bubbles: A robust test
• A simple procedure for detecting periodically collapsing rational bubbles
• A simple mechanism for financial bubbles: time-varying momentum horizon
• scientific article; zbMATH DE number 10027
• scientific article; zbMATH DE number 5249361

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A stable estimator of the information matrix under EM for dependent data
• A survey of sequential Monte Carlo methods for economics and finance
• Sequential Monte Carlo Methods in Practice
• System identification of nonlinear state-space models

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

Describes a project that uses

Uses Software

• System Identification Toolbox

This page was built for publication: Periodically collapsing Evans bubbles and stock-price volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q397964)