Estimating heterogeneous agents behavior in a two-market financial system
In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (J Econ Behav Organ 83(3):446–460, 2012). Using monthly data of French and US stock markets, the regression shows that individual markets have features of a two-regime switching process. By inc...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/139517 |
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| Institution: | Nanyang Technological University |
| Language: | English |