Estimating behavioural heterogeneity under regime switching

• Main Authors: Chiarella, Carl, He, Xue-Zhong, Huang, Weihong, Zheng, Huanhuan
• Other Authors: School of Humanities and Social Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Business::General::Economic and business aspects
• Online Access: https://hdl.handle.net/10356/107489; http://hdl.handle.net/10220/17330; http://dx.doi.org/10.1016/j.jebo.2012.02.014
• Institution: Nanyang Technological University

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and cha...