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: | Chen, Zhenxi, Huang, Weihong, Zheng, Huanhuan |
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Other Authors: | School of Social Sciences |
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 |
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