Heterogeneity in stock prices: a STAR model with multivariate transition function
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Cites work
- A Rational Route to Randomness
- Behavioral heterogeneity in stock prices
- Behavioral heterogeneity in the option market
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Heterogeneous beliefs and the non-linear cobweb model
- Heterogeneous beliefs, risk and learning in a simple asset pricing model
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Inference in TAR Models
- Modelling Nonlinear Economic Time Series
- Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Testing linearity against smooth transition autoregressive models
- Testing the adequacy of smooth transition autoregressive models
- The Present-Value Relation: Tests Based on Implied Variance Bounds
- The impact of heterogeneous trading rules on the limit order book and order flows
Cited in
(8)- Heterogeneous expectations in the gold market: specification and estimation
- Estimation of financial agent-based models with simulated maximum likelihood
- Analyzing heterogeneous stock price comovements through hybrid approaches
- Effects of fundamentals acquisition and strategy switch on stock price dynamics
- An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
- A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
- Booms, busts and behavioural heterogeneity in stock prices
- Behavioral heterogeneity in stock prices
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