教師資料查詢 | 類別: 期刊論文 | 教師: 林建志 Lin, Chien-chin (瀏覽個人網頁)

標題:Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
學年
學期
出版(發表)日期2011/05/01
作品名稱Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
作品名稱(其他語言)
著者Ho, Hwai-Chung; Lin, Chien-Chih
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics Letters 18(10), pp.955-959
摘要This study provides theoretical and empirical evidences of the effects of heterogeneous beliefs on asset volatility when agents' level of confidence differs. We derive a stock price formula that is applied to simulating stock volatility using Monte Carlo method. Through the simulation results, we observe that the influence of heterogeneous beliefs on volatility depends on the confident agents' level of optimism. Some empirical results are provided to confirm those observations.
關鍵字
語言英文
ISSN1350-4851;1466-4291
期刊性質國外
收錄於SSCI
產學合作
通訊作者Ho, Hwai-Chung
審稿制度
國別英國
公開徵稿
出版型式紙本;電子版
相關連結
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