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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Bibliographic Details
Main Authors: FULOP, Andras, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
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Online Access: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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Institution: Singapore Management University
Language: English

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