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• W2118063399 abstract "This paper empirically estimates a heterogeneous agents model using S&P 500 data. While previous studies on heterogeneous agents models typically resort to simulation techniques, our empirical results indicate that the market is populated with fundamentalists, chartists, and noise traders. In addition, agents switch between these groups conditional on their previous performance. As a result, the model is capable of explaining the inflation and deflation of bubbles. Finally, it is reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering." @default.
• W2118063399 created "2016-06-24" @default.
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• W2118063399 date "2009-01-01" @default.
• W2118063399 modified "2023-09-28" @default.
• W2118063399 title "Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500" @default.
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• W2118063399 doi "https://doi.org/10.2139/ssrn.1519987" @default.
• W2118063399 hasPublicationYear "2009" @default.
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