Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168210
Authors: 
Rotermann, Benedikt
Wilfling, Bernd
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Econometrics I F14-V2
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.
JEL: 
C1
G1
Document Type: 
Conference Paper

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