A new stock-price bubble with stochastically deflating trajectories
| Autor: | Benedikt Rotermann, Bernd Wilfling |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Hardware_MEMORYSTRUCTURES Explosive material Bubble 05 social sciences 01 natural sciences Stock price Physics::Fluid Dynamics 010104 statistics & probability C1 Computer Science::Computational Engineering Finance and Science 0502 economics and business G1 Econometrics Economics ddc:330 050207 economics 0101 mathematics Volatility (finance) |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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