Rotermann, Benedikt: Econometric estimation and theoretical modeling of rational stock-market bubbles. 2014
Inhalt
- Introduction
- Literature overview
- Estimation of periodically collapsing bubbles
- Introduction
- Model specification
- State-space estimation
- Parameter estimation
- Parameter estimation by maximum likelihood
- Maximum likelihood estimation via the EM algorithm
- EM algorithm
- Standard errors
- Empirical application
- Nonlinear state-space representation
- Artificial data
- Estimation results
- Goodness-of-fit and model diagnostics
- Real-world data
- Estimation results of the real-world data set
- Model critique
- Conclusion
- Periodically collapsing Evans bubbles and stock-price volatility
- Periodic and stochastically deflating rational bubbles
- Introduction
- Alternative specifications of rational bubbles
- Estimating periodic, stochastically deflating bubbles via particle-filter methods
- Nonlinear state-space representation
- Artificial data
- Estimation results
- Real-world data
- Estimation results
- Model diagnostics
- Volatility analysis
- Conclusion
- Summary and outlook
- References
- Appendix