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Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

Testing factor models when asset bubbles occur : a time-varying perspective

Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014463291

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program

Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...

Persistent link: https://www.econbiz.de/10011715916

Are there periodically collapsing bubbles in the stock markets? : new international evidence

Chen, Shyh-Wei; Hsu, Chi-Sheng; Xie, Zixong - In: Economic modelling 52 (2016), pp. 442-451

Persistent link: https://www.econbiz.de/10011642804

Testing for stock market bubbles using nonlinear models and fractional integration

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321

Persistent link: https://www.econbiz.de/10003605836

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments … participants receive. Each market is repeated three times. In both experiments and in all treatments, we observe sizable bubbles …. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the …

Persistent link: https://www.econbiz.de/10011932581

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