Periodically collapsing Evans bubbles and stock-price volatility

C-Tier

Journal: Economics Letters

Year: 2014

Volume: 123

Issue: 3

Pages: 383-386

Authors (2)

Rotermann, Benedikt (not in RePEc) Wilfling, Bernd (Westfälische Wilhelms-Universi...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Periodically collapsing Evans bubbles and stock-price volatility

Authors (2)

Abstract

Technical Details