Estimating behavioural heterogeneity under regime switching
Publication in refereed journal


香港中文大学研究人员 ( 现职)

郑环环教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jebo.2012.02.014

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/10WOS source URL
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/13Scopus source URL

其它资讯

摘要Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and chartists with Markov chain regime-dependent expectations and applying the S&P 500 data from January 2000 to June 20http://aims.cuhk.edu.hk/converis/portal/Publication/10, we show that the estimation of the model matches well with the boom and bust periods in the US stock market. In addition, we find evidence of time-varying behavioural heterogeneity within-group and that the model exhibits good forecasting accuracy. ? 2012 Elsevier B.V. All rights reserved.

着者Chiarella C., He X.-Z., Huang W., Zheng H.
期刊名称Journal of Economic Behavior and Organization
出版年份2012
月份3
日期9
卷号83
期次3
出版社Elsevier BV
出版地Netherlands
国际标準期刊号0167-2681
电子国际标準期刊号1879-1751
语言英式英语

关键词Boom and bust, Estimation, Heterogeneity, Regime switching