Fluctuating Confidence and Stock-market Returns

Fluctuating Confidence and Stock-market Returns

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7 Fluctuating Confidence and Properties of Stock Market Returns I state three stylized facts about stock-market data. ... Equation (27), the value function for the consumera#39;s problem is solved using an implicit finite-difference method14. I show ... I also discuss to what extent models based on Kalman Filter learning models might replicate these facts. ... (in) The Predictive Asymmetry of Stock-Market Volatility.

Title:Fluctuating Confidence and Stock-market Returns
Author: Alexander David
Publisher: - 1993

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