EconPapers    
Economics at your fingertips  
 

Identification of speculative bubbles using state-space models with Markov-switching

Nael Al-Anaswah and Bernd Wilfling ()

No 309, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: In this paper we use a state-space model with Markov-switching to detect speculative bubbles in stock-price data. Our two innovations are (1) to adapt this technology to the state-space representation of a well-known present-value stock-price model, and (2) to estimate the model via Kalman-filtering using a plethora of artificial as well as real-world data sets that are known to contain bubble periods. Analyzing the smoothed regime probabilities, we find that our technology is well suited to detecting stock-price bubbles in both types of data sets.

Keywords: Stock market dynamics; Detection of speculative bubbles; Present value models; State-space models with Markov-switching (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2009-09
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_3_2009.pdf Version of September, 2009 (application/pdf)

Related works:
Journal Article: Identification of speculative bubbles using state-space models with Markov-switching (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:0309

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().

 
Page updated 2020-06-13
Handle: RePEc:cqe:wpaper:0309