TY - CHAP
T1 - Heterogeneous beliefs and asset price dynamics
T2 - A survey of recent evidence
AU - Verschoor, W.F.C.
AU - ter Ellen, Saskia
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
UR - https://www.springer.com/gp/book/9783319987132
U2 - 10.1007/978-3-319-98714-9_3
DO - 10.1007/978-3-319-98714-9_3
M3 - Chapter
SN - 9783319987132
T3 - Dynamic Modeling and Econometrics in Economics and Finance
SP - 53
EP - 79
BT - Uncertainty, expectations and asset price dynamics
A2 - Jawadi, Fredj
PB - Springer Nature Switzerland AG
ER -
