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Estimating Behavioural Heterogeneity Under Regime Switching

Citations

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Cited by:

  1. Jang, Tae-Seok & Sacht, Stephen, 2017. "Modeling consumer confidence and its role for expectation formation: A horse race," Economics Working Papers 2017-04, Christian-Albrechts-University of Kiel, Department of Economics.
  2. De Grauwe, Paul & Gerba, Eddie, 2018. "The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 206-236.
  3. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  4. Shiyu Song & Yongjin Wang, 2017. "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, vol. 20(3), pages 255-280, October.
  5. Anufriev, Mikhail & Bao, Te & Tuinstra, Jan, 2016. "Microfoundations for switching behavior in heterogeneous agent models: An experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 129(C), pages 74-99.
  6. Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
  7. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
  8. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  9. Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
  10. Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
  11. Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016. "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 417-438.
  12. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Filippo Gusella & Giorgio Ricchiuti, 2021. "State Space Model to Detect Cycles in Heterogeneous Agents Models," Working Papers - Economics wp2021_10.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  14. Chen, Zhenxi, 2016. "Regimes dependent speculative trading: Evidence from the United States housing market," FinMaP-Working Papers 66, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  15. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation," MPRA Paper 83894, University Library of Munich, Germany.
  16. Mengling Li & Huanhuan Zheng, 2017. "Heterogeneous trading and complex price dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 437-442, July.
  17. Filippo Gusella & Giorgio Ricchiuti, 2024. "Endogenous cycles in heterogeneous agent models: a state-space approach," Journal of Evolutionary Economics, Springer, vol. 34(4), pages 739-782, December.
  18. Zhentao Shi & Huanhuan Zheng, 2018. "Structural estimation of behavioral heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 690-707, August.
  19. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
  20. Delli Gatti, Domenico & Grazzini, Jakob, 2020. "Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 875-902.
  21. Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  22. Lee, Adrian D. & Li, Mengling & Zheng, Huanhuan, 2020. "Bitcoin: Speculative asset or innovative technology?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  23. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
  24. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  25. Franke, Reiner & Westerhoff, Frank, 2012. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
  26. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  27. Filippo Gusella & Eugenio Vicario, 2025. "Generative Agents and Expectations: Do LLMs Align with Heterogeneous Agent Models?," Working Papers - Economics wp2025_18.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  28. Filippo Gusella & Giorgio Ricchiuti, 2022. "A State-Space Approach for Time-Series Prediction of an Heterogeneous Agent Model," Working Papers - Economics wp2022_20.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  29. Tai, Chung-Ching & Chen, Shu-Heng & Yang, Lee-Xieng, 2018. "Cognitive ability and earnings performance: Evidence from double auction market experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 409-440.
  30. Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
  31. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
  32. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
  33. Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
  34. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
  35. Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
  36. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  37. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
  38. Ryuichi Yamamoto, 2022. "Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 325-356, January.
  39. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
  40. Zheng, Huanhuan, 2020. "Coordinated bubbles and crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  41. Domenico Delli Gatti & Filippo Gusella & Giorgio Ricchiuti, 2024. "Endogenous vs Exogenous Instability: An Out-of-Sample Comparison," Working Papers - Economics wp2024_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  42. Filippo Gusella & Eugenio Vicario, 2025. "Generative Agents and Expectations: Do LLMs Align with Heterogeneous Agent Models?," Papers 2511.08604, arXiv.org.
  43. Filippo Gusella, 2022. "Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
  44. Mirza Faizan Ahmed, 2019. "Estimating proportion of noise traders and asset prices," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 14(2), pages 1-12, July-Dece.
  45. Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
  46. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  47. Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
  48. Guillaume Coqueret, 2016. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02088097, HAL.
  49. Huang, Weihong & Zheng, Huanhuan, 2012. "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 445-461.
  50. Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
  51. Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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