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Equilibria in financial markets with heterogeneous agents: a probabilistic perspective

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  • Follmer, Hans
  • Horst, Ulrich
  • Kirman, Alan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 41 (2005)
Issue (Month): 1-2 (February)
Pages: 123-155

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Handle: RePEc:eee:mateco:v:41:y:2005:i:1-2:p:123-155

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
  2. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, American Economic Association, vol. 81(4), pages 922-30, September.
  3. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 257-275, June.
  4. Brock,W.A. & Durlauf,S.N., 2000. "Discrete choice with social interactions," Working papers, Wisconsin Madison - Social Systems 7, Wisconsin Madison - Social Systems.
  5. Hans Föllmer & Martin Schweizer, 1993. "A Microeconomic Approach to Diffusion Models For Stock Prices," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 3(1), pages 1-23.
  6. KIRMAN, Alan & TEYSSIÈRE, Gilles, . "Microeconomic models for long memory in the volatility of financial time series," CORE Discussion Papers RP -1593, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  8. Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C95-051, University of California at Berkeley.
  9. De Long, J Bradford, et al, 1989. " The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, American Finance Association, vol. 44(3), pages 681-96, July.
  10. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, Econometric Society, vol. 58(2), pages 277-307, March.
  11. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, American Economic Association, vol. 96(3), pages 552-576, June.
  12. Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, Elsevier, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729 Elsevier.
  13. Kurz, Mordecai, 1994. "On Rational Belief Equilibria," Economic Theory, Springer, Springer, vol. 4(6), pages 859-76, October.
  14. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, Econometric Society, vol. 65(5), pages 1059-1096, September.
  15. Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(2), pages 193-227, April.
  16. Chionis, Dionysios & MacDonald, Ronald, 2002. "Aggregate and disaggregate measures of the foreign exchange risk premium," International Review of Economics & Finance, Elsevier, Elsevier, vol. 11(1), pages 57-84, April.
  17. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  18. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(431), pages 881-96, July.
  19. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary stability of portfolio rules in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 43-66, February.
  20. Lorenzo Giorgianni & Leonardo Bartolini, 1999. "Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals," IMF Working Papers 99/71, International Monetary Fund.
  21. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  22. Townsend, Robert M, 1983. "Forecasting the Forecasts of Others," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(4), pages 546-88, August.
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