We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

We propose a new empirical representation of the Bass diffusion model, in order to estimate thethree key parameters, concerning innovation, imitation and maturity. The representation isbased on the notion that the observed data may temporarily deviate from the mean pathdetermined by the...

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...