Al-Anaswah, Nael; Wilfling, Bernd - Center for Quantitative Economics (CQE), … - 2009
In this paper we use a state-space model with Markov-switching to detect speculative bubbles in stock-price data. Our two innovations are (1) to adapt this technology to the state-space representation of a well-known present-value stock-price model, and (2) to estimate the model via...