Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters

DOI10.1016/J.JEDC.2012.02.007zbMath1345.62134OpenAlexW2027504177MaRDI QIDQ310925

Georg Stadtmann, Jan-Christoph Rülke, Stefan Reitz

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/45900

zbMATH Keywords

survey datanonlinear expectationsagent based models

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Economics of information (91B44)

Related Items (1)

Exchange rate expectations of chartists and fundamentalists

Cites Work

• Financial power laws: empirical evidence, models, and mechanisms
• Behavioral heterogeneity in stock prices
• Testing the adequacy of smooth transition autoregressive models
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Agent-based computational finance: Suggested readings and early research
• Exchange rate dynamics in a target zone-A heterogeneous expectations approach
• Testing linearity against smooth transition autoregressive models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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