Bayesian analysis of bubbles in asset prices
We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a s...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2017
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2209 https://ink.library.smu.edu.sg/context/soe_research/article/3208/viewcontent/econometrics_05_00047_pvoa.pdf |
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