dc.contributor.authorChiarella, Carl
dc.contributor.authorHe, Xue-Zhong
dc.contributor.authorHuang, Weihong
dc.contributor.authorZheng, Huanhuan
dc.identifier.citationChiarella, C., He, X. Z., Huang, W., & Zheng, H. (2012). Estimating behavioural heterogeneity under regime switching. Journal of Economic Behavior & Organization, 83(3), 446-460.en_US
dc.description.abstractFinancial 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.en_US
dc.relation.ispartofseriesJournal of economic behavior & organizationen_US
dc.subjectDRNTU::Business::General::Economic and business aspects
dc.titleEstimating behavioural heterogeneity under regime switchingen_US
dc.typeJournal Article
dc.contributor.schoolSchool of Humanities and Social Sciencesen_US

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