On modelling speculative prices: the empirical literature
Date
2001Author
Andreou, ElenaPittis, Nikitas
Spanos, Aris
Source
Journal of Economic SurveysVolume
15Pages
187-220Google Scholar check
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Show full item recordAbstract
Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper is to trace the development of various statistical models proposed since Bachelier (1900), in an attempt to assess how well these models capture the empirical regularities exhibited by data on speculative prices.