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Periodically collapsing Evans bubbles and stock-price volatility

Published on Jun 1, 2014in Economics Letters0.88
· DOI :10.1016/j.econlet.2014.03.023
Benedikt Rotermann1
Estimated H-index: 1
,
Bernd Wilfling12
Estimated H-index: 12
Cite
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.
  • References (11)
  • Citations (4)
Cite
References11
Newest
Published on Jun 6, 2012in Handbook of The Economics of Finance
Markus K. Brunnermeier29
Estimated H-index: 29
(Princeton University),
Martin Oehmke11
Estimated H-index: 11
(Columbia University)
This chapter surveys the literature on bubbles, financial crises, and systemic risk. The first part of the chapter provides a brief historical account of bubbles and financial crisis. The second part of the chapter gives a structured overview of the literature on financial bubbles. The third part of the chapter discusses the literatures on financial crises and systemic risk, with particular emphasis on amplification and propagation mechanisms during financial crises, and the measurement of syste...
Published on Jan 1, 2011in Statistics and Computing2.38
Jin-Chuan Duan30
Estimated H-index: 30
(NUS: National University of Singapore),
Andras Fulop7
Estimated H-index: 7
(ESSEC Business School)
This article develops a new and stable estimator for information matrix when the EM algorithm is used in maximum likelihood estimation. This estimator is constructed using the smoothed individual complete-data scores that are readily available from running the EM algorithm. The method works for dependent data sets and when the expectation step is an irregular function of the conditioning parameters. In comparison to the approach of Louis (J. R. Stat. Soc., Ser. B 44:226---233, 1982), this new es...
Published on Jan 1, 2011in Automatica6.36
Thomas B. Schön31
Estimated H-index: 31
(Linköping University),
Adrian Wills23
Estimated H-index: 23
(University of Newcastle),
Brett Ninness29
Estimated H-index: 29
(University of Newcastle)
This paper is concerned with the parameter estimation of a general class of nonlinear dynamic systems in state-space form. More specifically, a Maximum Likelihood (ML) framework is employed and an Expectation Maximisation (EM) algorithm is derived to compute these ML estimates. The Expectation (E) step involves solving a nonlinear state estimation problem, where the smoothed estimates of the states are required. This problem lends itself perfectly to the particle smoother, which provides arbitra...
Published on Jan 1, 2004
Keith Cuthbertson21
Estimated H-index: 21
Partial table of contents: RETURNS AND VALUATION. Basic Concepts in Finance. Modelling Equilibrium Returns. Valuation Models. EFFICIENCY PREDICTABILITY AND VOLATILITY. Empirical Evidence on Efficiency. Rational Bubbles. Anomalies, Noise Traders and Chaos. THE BOND MARKET: Bond Prices and the Term Structure of Interest Rates. Empirical Evidence on the Term Structure. THE FOREIGN EXCHANGE MARKET. Testing CIP, UIP and FRU. The Exchange Rate and Fundamentals. TESTS OF THE EMH USING THE VAR METHODOLO...
Published on Jan 1, 2001
Arnaud Doucet58
Estimated H-index: 58
,
Nando de Freitas44
Estimated H-index: 44
+ 1 AuthorsAdrian Smith1
Estimated H-index: 1
Monte Carlo methods are revolutionizing the on-line analysis of data in fields as diverse as financial modeling, target tracking and computer vision. These methods, appearing under the names of bootstrap filters, condensation, optimal Monte Carlo filters, particle filters and survival of the fittest, have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques, including c...
Published on Jan 1, 1997
John Y. Campbell82
Estimated H-index: 82
,
Andrew W. Lo57
Estimated H-index: 57
,
Andrew MacKinlay1
Estimated H-index: 1
Published on Jan 1, 1993
N. J. Gordon1
Estimated H-index: 1
(DRA: Defence Research Agency),
D. J. Salmond1
Estimated H-index: 1
(DRA: Defence Research Agency),
A. F. M. Smith1
Estimated H-index: 1
(Imperial College London)
An algorithm, the bootstrap filter, is proposed for implementing recursive Bayesian filters. The required density of the state vector is represented as a set of random samples, which are updated and propagated by the algorithm. The method is not restricted by assumptions of linear- ity or Gaussian noise: it may be applied to any state transition or measurement model. A simula- tion example of the bearings only tracking problem is presented. This simulation includes schemes for improving the effi...
Published on Jan 1, 1991in The American Economic Review4.10
George W. Evans39
Estimated H-index: 39
A number of studies (e.g., Robert J. Shiller, 1981; Olivier J. Blanchard and Mark Watson, 1982; Kenneth D. West, 1988) have argued that dividend and stock price data are not consistent with the "market fundamentals" hypothesis, in which prices are given by the present discounted values of expected dividends. These results have often been construed as evidence for the existence of bubbles or fads. (Related arguments have been made with respect to gold, bonds, and foreign exchange). A major proble...
Published on Jul 1, 1982in National Bureau of Economic Research
Olivier J. Blanchard85
Estimated H-index: 85
(Peterson Institute for International Economics),
Mark W. Watson74
Estimated H-index: 74
(NBER: National Bureau of Economic Research)
This paper investigates the nature and the presence of bubbles in financial markets. Are bubbles consistent with rationality? If they are, do they, like Ponzi games, require the presence of new players forever? Do they imply impossible events in finite time, such as negative prices? Do they need to go on forever to be rational? Can they have real effects? These are some of the questions asked in the first three sections. The general conclusion is that bubbles, in many markets, are consistent wit...
Published on Jan 1, 1978
Charles P. Kindleberger35
Estimated H-index: 35
1. Financial Crisis: A Hardy Perennial 2. Anatomy of a Typical Crisis 3. Speculative Manias 4. Fueling them Flames: The Expansion of Credit 5. The Critical Stage: Pricking the Bubble 6. Euphoria and Economic Booms 7. International Contagion 8. Bubble Contagion: Tokyo to Bangkok to New York 9. Swindles and Theft and Bad Manners 10. Policy Responses: Letting It Burn Out 11. Lenders of Last Resort: The Domestic Responses 12. The International Lender of Last Resort 13. Conclusion The Lessons of Hist...
Cited By4
Newest
Published on Jun 1, 2016
Hasan Dinçer9
Estimated H-index: 9
,
Ümit Hacıoğlu8
Estimated H-index: 8
+ 1 AuthorsDursun Delen32
Estimated H-index: 32
(Oklahoma State University–Tulsa)
The 2008-2009 global financial crisis and its subsequent ramifications on capital markets have led to an increasing attention on the importance of cognitive and behavioral issues in finance. The purpose of this study is to determine the ranking of the industry alternatives for portfolio investments based on individual investors' perceptions. Accordingly, a hybrid analytic multi-criteria decision model (MCDM)-based on the Fuzzy Analytic Hierarchy Process (FAHP) and the Fuzzy Technique for the Ord...
Published on Apr 1, 2016in Business Research
Gregor Dorfleitner14
Estimated H-index: 14
(University of Regensburg),
Mai Nguyen2
Estimated H-index: 2
(University of Regensburg)
Abstract This article examines the determinants of the optimal percentage that private investors seek to invest in a socially responsible (SR) way when forming their portfolio. By conducting a global online survey in English, German and French, we find indications that it is sufficient for the majority of investors to have a certain amount of their budget invested sustainably. Accordingly, the optimal proportion tends to be lower the higher the available investment volume is. In addition, the no...