| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059316 | Economics Letters | 2014 | 4 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Benedikt Rotermann, Bernd Wilfling,