Some properties of periodically collapsing bubbles

Gawon Yoon

Economic Modelling, 2012, vol. 29, issue 2, 299-302

Abstract: This paper explores some properties of periodically collapsing bubbles, which are a very popular model in the bubbles literature. We first demonstrate that complicated nonlinear bubbles can be represented as a time-varying parameter linear model of order 1. We demonstrate that the bubbles are explosive and nonstationary. We also derive conditions under which the bubbles are strictly stationary. We also demonstrate that the bubbles cannot be weakly stationary by deriving the tail indices of the strictly stationary distribution.

Keywords: Periodically collapsing bubbles; Multiplicative stochastic processes; Heavy-tailed distributions; Stochastic unit roots (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:2:p:299-302

DOI: 10.1016/j.econmod.2011.10.007

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