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Periodically collapsing Evans bubbles and stock-price volatility. (2013). Wilfling, Bernd ; Rotermann, Benedikt.
In: CQE Working Papers.
RePEc:cqe:wpaper:2813.

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  3. Brunnermeier, M.K., Oehmke, M., 2013. Bubbles, financial crises, and systematic risk.
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  4. Campbell, J.Y., Lo, W., MacKinlay, A.C., 1997. The Economdetrics of Financial Markets. Princeton University Press, Princeton.
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  5. Cuthbertson, K., Nitzsche, D., 2004. Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. Wiley, New York.
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  6. Doucet, A., de Freitas, N., Gordon, N.J., 2001. Sequential Monte Carlo Methods in Practice. Springer Verlag. New York.
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  7. Duan, J.C., Fulop, A., 2011. A stable estimator of the information matrix under EM for dependent data. Statistics and Computing 21(1), 83-91.
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  8. Evans, G.W., 1991. Pitfalls in testing for explosive bubbles in asset prices. American Economic Review 81, 922-930.

  9. Flood, R.P., Hodrick, R.J., 1986. Asset price volatility, bubbles, and process switching. Journal of Finance 41(4), 831-842.

  10. Gordon, N.J., Salmond, D.J., Smith, A.F.M., 1993. A novel approach to nonlinear and non-Gaussian Bayesian state estimation. IEE Proceedings. Part F: Radar and Sonar Navigation 140, 107-113.
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  11. Kindleberger, C.P., Aliber, R.Z., 2005. Manias, Panics, and Crashes: A History of Financial Crises. John Wiley and Sons, Hoboken.

  12. Schon, T.B., Wills, A., Ninness, B., 2011. System identification of nonlinear state-space models. Automatica 47, 39-49.
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