Properties of equilibrium asset prices under alternative learning schemes
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Publication:959726
DOI10.1016/J.JEDC.2005.10.006zbMath1162.91348OpenAlexW3122742681MaRDI QIDQ959726
Massimo Guidolin, Allan G. Timmermann
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.10.006
Bayesian problems; characterization of Bayes procedures (62C10) Microeconomic theory (price theory and economic markets) (91B24) Rationality and learning in game theory (91A26)
Related Items (6)
Learning and forecasts about option returns through the volatility risk premium ⋮ The stability of macroeconomic systems with Bayesian learners ⋮ How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders ⋮ Investor expectations, earnings management, and asset prices ⋮ Strategic exploitation of a common-property resource under rational learning about its reproduction ⋮ The stock implied volatility and the implied dividend volatility
Uses Software
Cites Work
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