Estimating rational stock-market bubbles with sequential Monte Carlo methods
Year of publication: |
2015-05
|
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Authors: | Rotermann, Benedikt ; Wilfling, Bernd |
Institutions: | Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät |
Subject: | Present-value model | rational bubble | nonlinear state-space model | particle-filter estimation | EM algorithm |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 4015 49 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; c58 ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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