Heterogeneity in stock prices: a STAR model with multivariate transition function

DOI10.1016/j.jedc.2012.06.006zbMath1346.91265OpenAlexW3121255226MaRDI QIDQ318862

Matthijs Lof

Publication date: 6 October 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/33709/2/MPRA_paper_33709.pdf

zbMATH Keywords

asset pricingheterogeneous beliefssmooth-transition autoregression

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

Related Items

Effects of fundamentals acquisition and strategy switch on stock price dynamics, Booms, busts and behavioural heterogeneity in stock prices, Estimation of financial agent-based models with simulated maximum likelihood, Heterogeneous expectations in the gold market: specification and estimation

Cites Work

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