Heterogeneous beliefs and asset price dynamics: A survey of recent evidence

W.F.C. Verschoor, Saskia ter Ellen

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

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Abstract

This contribution reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) heterogeneous agent models that have their roots in the agent-based literature. Heterogeneous agent models perform well in describing, explaining and often forecasting asset markets dynamics, such as equities, foreign exchange, credit, housing, derivatives and commodities. Our survey suggests that heterogeneous agent models have the ability to produce important stylised facts observed in financial time series and to replicate important episodes of financial turmoil.
Original languageEnglish
Title of host publicationUncertainty, expectations and asset price dynamics
Subtitle of host publicationEssays in honor of Georges Prat
EditorsFredj Jawadi
PublisherSpringer Nature Switzerland AG
Chapter3
Pages53-79
Number of pages27
ISBN (Electronic)9783319987149
ISBN (Print)9783319987132
DOIs
Publication statusPublished - 2018

Publication series

NameDynamic Modeling and Econometrics in Economics and Finance
PublisherSpringer
Volume24

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