Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis

DOI10.1142/S0219525922400021MaRDI QIDQ6497622zbMATH OpenFDO

Authors Filippo Gusella

Publication date 6 May 2024

Published in Advances in Complex Systems (Search for Journal in Brave)

zbMATH Keywords

state-space modelheterogeneous agent modelsheterogeneous expectationsendogenous cyclesperiod of cycles

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 5640256 (Why is no real title available?)
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• Identifying booms and busts in house prices under heterogeneous expectations
• Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison
• Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest

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