Heterogeneous beliefs, the term structure and time-varying risk premia

DOI10.1007/S10436-006-0039-XzbMath1233.91144OpenAlexW2082939694MaRDI QIDQ665723

Min Fan

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0039-x

zbMATH Keywords

heterogeneous beliefssurvey forecaststhe term structure

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Heterogeneous agent models (91B69)

Related Items (5)

Beauty contests under private information and diverse beliefs: How different? ⋮ Diverse beliefs and time variability of risk premia ⋮ State prices, liquidity, and default ⋮ Monetary transaction costs and the term premium ⋮ Diverse beliefs

Cites Work

• On the structure and diversity of rational beliefs
• Endogenous economic fluctuations. Studies in the theory of rational beliefs
• A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
• A Theory of the Term Structure of Interest Rates
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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