Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/107489
Title: | Estimating behavioural heterogeneity under regime switching | Authors: | Chiarella, Carl He, Xue-Zhong Huang, Weihong Zheng, Huanhuan |
Keywords: | DRNTU::Business::General::Economic and business aspects | Issue Date: | 2012 | Source: | Chiarella, C., He, X. Z., Huang, W., & Zheng, H. (2012). Estimating behavioural heterogeneity under regime switching. Journal of Economic Behavior & Organization, 83(3), 446-460. | Series/Report no.: | Journal of economic behavior & organization | Abstract: | 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 2010, 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. | URI: | https://hdl.handle.net/10356/107489 http://hdl.handle.net/10220/17330 |
ISSN: | 0167-2681 | DOI: | 10.1016/j.jebo.2012.02.014 | Schools: | School of Humanities and Social Sciences | Fulltext Permission: | none | Fulltext Availability: | No Fulltext |
Appears in Collections: | HSS Journal Articles |
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