Heterogeneity in stock prices: a STAR model with multivariate transition function

DOI10.1016/J.JEDC.2012.06.006zbMATH Open1346.91265OpenAlexW3121255226MaRDI QIDQ318862FDOQ318862

Authors: Matthijs Lof 

Publication date: 6 October 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/33709/2/MPRA_paper_33709.pdf

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zbMATH Keywords

asset pricingheterogeneous beliefssmooth-transition autoregression

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

Cites Work

• Modelling Nonlinear Economic Time Series
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Testing the adequacy of smooth transition autoregressive models
• Testing linearity against smooth transition autoregressive models
• A Rational Route to Randomness
• Inference in TAR Models
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Behavioral heterogeneity in stock prices
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• Heterogeneous beliefs and the non-linear cobweb model
• The impact of heterogeneous trading rules on the limit order book and order flows
• Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
• Behavioral heterogeneity in the option market

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
• A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• Booms, busts and behavioural heterogeneity in stock prices
• Behavioral heterogeneity in stock prices

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