Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters

DOI10.1016/J.JEDC.2012.02.007MaRDI QIDQ310925zbMATH OpenOpenAlexFDO

Authors Stefan Reitz, Jan-Christoph Rülke, Georg Stadtmann

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/45900

zbMATH Keywords

agent based modelsnonlinear expectationssurvey data

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Economics of information (91B44)

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• scientific article; zbMATH DE number 1281936

Cites work

• Agent-based computational finance: Suggested readings and early research
• Behavioral heterogeneity in stock prices
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Exchange rate dynamics in a target zone-A heterogeneous expectations approach
• Financial power laws: empirical evidence, models, and mechanisms
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Testing linearity against smooth transition autoregressive models
• Testing the adequacy of smooth transition autoregressive models

Cited in

(2)

• Exchange rate expectations of chartists and fundamentalists
• The relation between overreaction in forecasts and uncertainty: a nonlinear approach

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