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Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 262-288

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators׳ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...

Persistent link: https://www.econbiz.de/10011051969

Directional predictability and time-varying spillovers between stock markets and economic cycles

Bekiros, Stelios; Shahzad, Syed Jawad Hussain; … - In: Economic modelling 69 (2018), pp. 301-312

Persistent link: https://www.econbiz.de/10012016183

Market entry waves and volatility outbursts in stock markets

Schwartz, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 153 (2018), pp. 19-37

Persistent link: https://www.econbiz.de/10011986639

A non-linear approach for predicting, stock returns and volatility with the use of investor sentiment indices

Bekiros, Stelios; Gupta, Rangan; Kyei, Clement - In: Applied economics 48 (2016) 31/33, pp. 2895-2898

Persistent link: https://www.econbiz.de/10011614191

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Interactions between stock, bond and housing markets

Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 91 (2018), pp. 43-70

Persistent link: https://www.econbiz.de/10011974131

Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 45 (2014), pp. 262-288

Persistent link: https://www.econbiz.de/10010474426

On economic uncertainty, stock market predictability and nonlinear spillover effects

Bekiros, Stelios; Gupta, Rangan; Kyeid, Clement - In: The North American journal of economics and finance : a … 36 (2016), pp. 184-191

Persistent link: https://www.econbiz.de/10011672656

Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach

Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85

Persistent link: https://www.econbiz.de/10011422667

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282

Persistent link: https://www.econbiz.de/10013532181