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东京热在线公告
东京热在线公告
6月18日宏观经济学讲座
发布时间：2012-06-14
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主题: 具有异质信念的适应性资产定价模型估计
Estimation of an Adaptive Asset Pricing Model with Heterogeneous Beliefs
时间：6月18日15:30 教七楼206
主讲: 李有伟 博士
英国女王大学商学院
Senior Lecturer in Finance
Queen’s University
Abstract
Facing various trading strategies and complicated decision making, empirical evidence suggests that a combination of fixed and switching strategies among fundamental and technical analysis is often used by investors. This paper estimates a simple asset pricing model of heterogeneous investors using both fixed and adaptive switching strategies. By conducting econometric analysis viaMonte Carlo simulations, we find that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model closely match the corresponding estimates for the DAX 30. The results provide a strong support to the empirical evidence and the explanatory power of heterogeneous agent models.