Search Results - subject:"Excess volatility"

There is no excess volatility puzzle

Atkeson, Andrew; Heathcote, Jonathan; Perri, Fabrizio - 2024

Persistent link: https://www.econbiz.de/10015075969

Fundamental volatility and financial stability

Desgranges, Gabriel; Gauthier, Stéphane - 2023

Persistent link: https://www.econbiz.de/10014383374

Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Perishable goods versus re-tradable assets : a theoretical reappraisal of a fundamental dichotomy

Inoua, Sabiou M.; Smith, Vernon L. - 2022

Persistent link: https://www.econbiz.de/10013256970

Government intervention model based on behavioral heterogeneity for China's stock market

Zhou, Zhong-Qiang; Li, Jie; Zhang, Wei; Xiong, Xiong - In: Financial innovation : FIN 8 (2022), pp. 1-19

Active government intervention is a striking characteristic of the Chinese stock market. This study develops a behavioral heterogeneous agent model (HAM) comprising fundamentalists, chartists, and stabilizers to investigate investors' dynamic switching mechanisms under government intervention....

Persistent link: https://www.econbiz.de/10013498830

Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process

Wehrli, Alexander; Sornette, Didier - 2021

this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that … inefficient) excess component. The endogenously induced excess volatility is found to be substantial, largely stable at longer … time scales and thus provides a plausible ex-planation for the excess volatility puzzle. Furthermore, strong endogenous …

Persistent link: https://www.econbiz.de/10012518955