Cross-section instability in financial markets: impatience, extrapolation, and switching

DOI10.1007/S10203-021-00348-5MaRDI QIDQ2064597zbMATH OpenOpenAlexFDO

Authors Roberto Dieci, Xue-Zhong He

Publication date 6 January 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10203-021-00348-5

zbMATH Keywords

portfolio choicebifurcation analysisasset pricingheterogeneous beliefsstrategy switching

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

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Cites work

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Cited in

(2)

• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
• Statistical arbitrage and risk contagion

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