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Estimating behavioural heterogeneity under regime switching
16 references·2 citing·50 second hop
Estimating behavioural heterogeneity under regime switching (2012)Estimating behavioural heterogeneity unde…International asset allocation under regime switching, skew, and kurtosis preferences (2008)International asset allocatio…Behavioral heterogeneity in stock prices (2007)Behavioral heterogeneity in s…Asset allocation under multivariate regime switching (2007)Asset allocation under multiv…Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Chapter 23 Heterogeneous Agen…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…Market States and Momentum (2004)Market States and MomentumThe price dynamics of common trading strategies (2002)The price dynamics of common …The Equity Premium (2002)The Equity PremiumInternational Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model (2002)Heterogeneous Beliefs, Risk a…State-Space Models with Regime Switching (1999)State-Space Models with Regim…Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous beliefs and rou…Herd Behaviour, Bubbles and Crashes (1995)Herd Behaviour, Bubbles and C…Bulls, bears and market sheep (1990)Bulls, bears and market sheepEmpirical exchange rate models of the seventies (1983)Empirical exchange rate model…Dividends, Earnings, and Stock Prices (1959)Dividends, Earnings, and Stoc…Empirical Validation of Agent-Based Models ✶ ✶We gratefully acknowledge the very detailed and careful comments by three anonymous reviewers. Very useful feedback and comments have also been provided by Robert Axtell, Herbert Dawid, Cees Diks, and Blake LeBaron. (2018)Empirical Validation of Agent…Cognitive ability and earnings performance: Evidence from double auction market experiments (2017)Cognitive ability and earning…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)An Evolutionary Theory of Economic Change. (1983)Chapter 24 Agent-based Computational Finance (2006)The heterogeneous expectations hypothesis: Some evidence from the lab (2010)Negative bubbles and shocks in cryptocurrency markets (2016)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Review of Economics and Statistics (1997)Agent-based computational finance: Suggested readings and early research (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Asset Prices in an Exchange Economy (1978)A Rational Route to Randomness (1997)Time series properties of an artificial stock market (1999)Heterogeneous Agent Models in Economics and Finance (2005)The Economy as an Evolving Complex System II (2018)Mean Reversion in Stock Prices: Evidence and Implications (1987)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Momentum has its moments (2014)Momentum crashes (2016)A Life Cycle Theory of the Firm (1972)Value-Enhancing Capabilities of CSR: A Brief Review of Contemporary Literature (2014)Stock Market Analysis: A Review and Taxonomy of Prediction Techniques (2019)Evolving Post-World War II U.S. Inflation Dynamics (2001)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 2002The Equity Premium1,331 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 1959Dividends, Earnings, and Stock Prices1,301 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 2004Market States and Momentum995 cited
  • 1990Bulls, bears and market sheep619 cited
  • 2006Chapter 23 Heterogeneous Agent Models in Economics and Finance542 cited
  • 2002The price dynamics of common trading strategies475 cited
  • 2007Behavioral heterogeneity in stock prices446 cited
  • 2007Asset allocation under multivariate regime switching427 cited
  • 2008International asset allocation under regime switching, skew, and kurtosis preferences400 cited
  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
  • 2002Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model

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  • 2018Empirical Validation of Agent-Based Models ✶ ✶We gratefully acknowledge the very detailed and careful comments by three anonymous reviewers. Very useful feedback and comments have also been provided by Robert Axtell, Herbert Dawid, Cees Diks, and Blake LeBaron.63 cited
  • 2017Cognitive ability and earnings performance: Evidence from double auction market experiments14 cited