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A new stock-price bubble with stochastically deflating trajectories

Benedikt Rotermann and Bernd Wilfling ()

Applied Economics Letters, 2018, vol. 25, issue 15, 1091-1096

Abstract: We propose a new, rational stock-price bubble that is able to generate recurringly explosive and stochastically deflating trajectories. Our flexible bubble process entails stock-price volatility dynamics that are consistent with real-world data. To demonstrate this, we fit our bubble specification to NASDAQ data and analyse the volatility dynamics.

Date: 2018
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Working Paper: A new stock-price bubble with stochastically deflating trajectories (2017) Downloads
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