A new stock-price bubble with stochastically deflating trajectories

Benedikt Rotermann and Bernd Wilfling

No 5817, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

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 analyze the volatility dynamics.

Keywords: Present-value model; Evans bubble; incompletely bursting bubble; stock-price volatility; particle-filter estimation (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2017-01
New Economics Papers: this item is included in nep-ore
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Related works:
Journal Article: A new stock-price bubble with stochastically deflating trajectories (2018)
Working Paper: A new stock-price bubble with stochastically deflating trajectories (2017)
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