Periodically collapsing Evans bubbles and stock-price volatility

Benedikt Rotermann; Bernd Wilfling

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Periodically collapsing Evans bubbles and stock-price volatility

机译：埃文斯泡沫周期性崩溃和股价波动

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This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.

机译：本文分析了周期性崩溃的伊万斯泡沫存在时的股价波动。我们得出了一个波动率公式，该公式在泡沫成分和股价波动之间建立了联系。我们演示了如何将波动率方程拟合到股市数据。

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来源
《Economics letters》 |2014年第3期|383-386|共4页
作者
Benedikt Rotermann; Bernd Wilfling;
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作者单位

Westfaelische Wilhelms-Universitaet Muenster, Department of Economics (CeNoS and CQE), Am Stadtgraben 9,48143 Muenster, Germany;

Westfaelische Wilhelms-Universitaet Muenster, Department of Economics (CeNoS and CQE), Am Stadtgraben 9,48143 Muenster, Germany;

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正文语种 eng
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关键词
Present-value model; Evans bubble; Conditional volatility; Particle-filter estimation;

机译：现值模型;埃文斯泡沫;有条件的波动;粒子滤波估计;

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Periodically collapsing Evans bubbles and stock-price volatility

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