• Media type: E-Book
  • Title: Explosive Trend or Explosive Quadratic Variation? A Study on the Source of Asset Price Bubbles
  • Contributor: Kwok, Simon [Author]
  • Published: [S.l.]: SSRN, 2023
  • Extent: 1 Online-Ressource (24 p)
  • Language: English
  • DOI: 10.2139/ssrn.4356169
  • Identifier:
  • Keywords: asset price bubble ; explosion ; quadratic variation ; realized volatility ; strict local martingale ; explosive autoregressive model
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 13, 2023 erstellt
  • Description: This paper aims to characterize the time series dynamics of asset price under the statistical probability measure in the presence of bubbles (defined according to the local martingale theory). We advocate that quadratic-variation risk premium can serve as a mechanism leading to forward-looking explosive price dynamics when bubbles are present. Our empirical findings support such a bubble generating mechanism over alternatives such as the explosive AR model
  • Access State: Open Access