Periodically collapsing Evans bubbles and stock-price volatility

Benedikt Rotermann and Bernd Wilfling

Economics Letters, 2014, vol. 123, issue 3, 383-386

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.

Keywords: Present-value model; Evans bubble; Conditional volatility; Particle-filter estimation (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Working Paper: Periodically collapsing Evans bubbles and stock-price volatility (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:383-386

DOI: 10.1016/j.econlet.2014.03.023

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