Learning, regime switches, and equilibrium asset pricing dynamics

DOI10.1016/0165-1889(95)00886-1zbMath0875.90145OpenAlexW2078800976MaRDI QIDQ1350459

Bartholomew Moore, Huntley Schaller

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(95)00886-1

zbMATH Keywords

LearningMarkov switchingAsset prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models ⋮ Equilibrium stock return dynamics under alternative rules of learning about hidden states ⋮ Through the looking glass: indirect inference via simple equilibria

Cites Work

• Asset Prices in an Exchange Economy
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• Unnamed Item

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