Statistical properties of a heterogeneous asset pricing model with time-varying second moment

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dc.contributor.author Chiarella, C
dc.contributor.author He, X-Z
dc.contributor.author Wang, D
dc.date.accessioned 2010-06-16T04:56:22Z
dc.date.issued 2006
dc.identifier.citation 2006, 567 pp. 109 - 124
dc.identifier.isbn 9783540287261
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/11705
dc.description.abstract Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial markets. However, the impact of such dynamic phenomena on various statistical properties of the corresponding stochastic model, including skewness and excess kurtosis, various autocorrelation (AC) patterns of under and over reactions, and volatility clustering characterised by the long-range dependence of ACs, is not clear and has been very little studied. This paper aims to contribute to this issue. Through a simple behavioural asset pricing model with fundamentalists and chartists, we examine the statistical properties of the model and their connection to the dynamics of the underlying deterministic model. In particular, our analysis leads to some insights into various mechanisms that may generate some of the stylised facts, such as fat tails, skewness, high kurtosis and long memory, observed in high frequency financial data. © 2006 Springer-Verlag Berlin Heidelberg.
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1007/3-540-28727-2_7
dc.rights The original publication is available at www.springerlink.com en_US
dc.title Statistical properties of a heterogeneous asset pricing model with time-varying second moment
dc.type Chapter
dc.journal.volume 567
dc.journal.number en_US
dc.publocation Berlin, Germany en_US
dc.publocation Melbourne, Australia
dc.identifier.startpage 109 en_US
dc.identifier.endpage 123 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference International We-B (Working for E-Business) Conference
dc.for 150201 Finance
dc.for 140104 Microeconomic Theory
dc.personcode 010238
dc.personcode 716350
dc.percentage 60 en_US
dc.classification.name Microeconomic Theory en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.date.activity 2006-11-29
dc.location.activity en_US
dc.location.activity Melbourne, Australia
dc.description.keywords fundamentalists; chartists; stability; bifurcation; investors' under- & over-reactions; stylized facts en_US
dc.description.keywords E-business design, Web design, adaptive web navigation
dc.description.keywords Bifurcation
dc.description.keywords Chartists
dc.description.keywords Fundamentalists
dc.description.keywords Investors' under-and over-reactions
dc.description.keywords Stability
dc.description.keywords Stylized facts
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)


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