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Whose disagreement matters? : household belief dispersion and stock trading volume
Li, Dan; Li, Geng - In: Review of finance : journal of the European Finance … 25 (2021) 6, pp. 1859-1900
Persistent link: https://www.econbiz.de/10012694412
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Market stability with machine learning agents
Georges, Christophre; Pereira, Javier - In: Journal of economic dynamics & control 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012666119
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Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
Ho, Hwai-chung; Lin, Chien-chih - In: Applied economics letters 18 (2011) 10/12, pp. 955-959
Persistent link: https://www.econbiz.de/10009317681
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
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Belief dispersion in the stock market
Atmaz, Adem; Başak, Suleyman - 2017
Persistent link: https://www.econbiz.de/10011675962
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Expectations, behavior, and stock market volatility
Wang, Yong; Deng, Hanzhong - In: Emerging markets finance & trade : a journal of the … 54 (2018) 13/14/15, pp. 3235-3255
Persistent link: https://www.econbiz.de/10012125765
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Estimating Conditional Expectations when Volatility Fluctuates
Stambaugh, Robert F. - 1993
a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …
Persistent link: https://www.econbiz.de/10012474538
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Heterogeneous beliefs, monetary policy, and stock price volatility
Oshima, Katsuhiro - In: Annals of finance 17 (2021) 1, pp. 79-125
Persistent link: https://www.econbiz.de/10012489939