References contributed by pfo235-25647
Beja, A. and Goldman, M.B., On the dynamic behavior of prices in disequilibrium. J. Finance, 1980, 35(2), 235–248. Berge, K., Consigli, G. and Ziemba, W.T., The predictive ability of the bond-stock earnings yield differential in relation to the equity risk premium. J. Portfolio Manage., 2008, 34(3), 63–80.
Blanchard, O.J. and Watson, M.W., Bubbles, rational expectations and financial markets. In Crises in the Economic and Financial Structure, chapter 11, edited by P. Wachtel, pp. 295–315, 1982 (Lexington Books, D.C. Heath and Company: Lexington, MA).
Brock, W.A. and Hommes, C.H., Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J. Econ. Dyn. Control, 1998, 22(8–9), 1235–1274.
Camerer, C., Bubbles and fads in asset prices. J. Econ. Surv., 1989, 3(1), 3–41.
Campbell, J.Y. and Shiller, R.J., Cointegration and tests of present value models. J. Political Econ., 1987, 95(5), 1062–1088.
Campbell, J.Y. and Shiller, R.J., The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud., 1988, 1(3), 195–228.
Chen, S.H. and Yeh, C.H., On the emergent properties of artificial stock markets: The efficient market hypothesis and the rational expectations hypothesis. J. Econ. Behav. Organiz., 2002, 49(2), 217–239.
- Cheriyan, V., Kleywegt, A.J. and Bonetto, F., Models of investor forecasting behavior – Experimental evidence. Technical report, School of Industrial and Systems Engineering, Georgia Institute of Technology, 2013. http://ssrn.com/abstract=2405047.
Paper not yet in RePEc: Add citation now
Chiarella, C. and He, X.Z., Heterogeneous beliefs, risk and learning in a simple asset pricing model. Comput. Econ., 2002, 19(1), 95–132.
Chiarella, C. and He, X.Z., Heterogeneous beliefs, risk, and learning in a simple asset-pricing model with a market maker. Macroecon. Dyn., 2003, 7, 503–536.
Chiarella, C., Dieci, R. and Gardini, L., A dynamic analysis of speculation across two markets. Complex Dyn. Econ. Interact, 2004, 197–212.
Chiarella, C., Dieci, R. and Gardini, L., Speculative behaviour and complex asset price dynamics: A global analysis. J. Econ. Behav. Organiz., 2002, 49(2), 173–197.
Chiarella, C., The dynamics of speculative behaviour.Ann. Oper. Res., 1992, 37(1–4), 101–123.
Conlisk, J., Why bounded rationality? J. Econ. Literature, 1996, 34(2), 669–700.
- Consigli, G., MacLean, L.C., Zhao, Y. and Ziemba, W.T., The bondstock yield differential as a risk indicator in financial markets. J. Risk, 2009, 11(3), 3–24.
Paper not yet in RePEc: Add citation now
- Dellnitz, M. and Hohmann, A., A subdivision algorithm for the computation of unstable manifolds and global attractors. Numerische Math., 1997, 75(3), 293–317.
Paper not yet in RePEc: Add citation now
- Dellnitz, M. and Junge, O., An adaptive subdivision technique for the approximation of attractors and invariant measures. Comput. Visual. Sci., 1998, 1(2), 63–68.
Paper not yet in RePEc: Add citation now
- Dellnitz, M. and Junge, O., On the approximation of complicated dynamical behavior. SIAM J. Numer. Anal., 1999, 36(2), 491–515.
Paper not yet in RePEc: Add citation now
Diba, B.T. and Grossman, H.I., Explosive rational bubbles in stock prices? Am. Econ. Rev., 1988, 78(3), 520–530.
- Eckmann, J.P. and Ruelle, D., Ergodic theory of chaos and strange attractors. Rev. Mod. Phys., 1985, 57(3), 617–656.
Paper not yet in RePEc: Add citation now
Fama, E.F., Multiperiod consumption-investment decisions. Am. Econ. Rev., 1970, 60(1), 163–174.
Farmer, J.D. and Joshi, S., The price dynamics of common trading strategies. J. Econ. Behav. Organiz., 2002, 49(2), 149–171.
- Farmer, J.D., Ott, E. and Yorke, J.A., The dimension of chaotic attractors. Physica D, 1983, 7(1–3), 153–180.
Paper not yet in RePEc: Add citation now
- Ferguson, N., The Ascent of Money: A Financial History of the World, 2008 (Penguin Press: New York, NY).
Paper not yet in RePEc: Add citation now
- Flood, R.P. and Garber, P.M., Market fundamentals vs. price-level bubbles: The first tests. The Journal of Political Economy, 1980, 88(4), 745–770.
Paper not yet in RePEc: Add citation now
Flood, R.P. and Hodrick, R.J., On testing for speculative bubbles. J. Econ. Perspect., 1990, 4(2), 85–101.
Fukuta, Y.,Atest for rational bubbles in stock prices. Empirical Econ., 2002, 27, 587–600.
Gaunersdorfer, A., Endogenous fluctuations in a simple asset pricing model with heterogeneous agents. J. Econ. Dyn. Control, 2000, 24(5–7), 799–831.
Gilles, C. and LeRoy, S.F., Bubbles as payoffs at infinity. Econ. Theory, 1997, 9(2), 261–281.
- Grassberger, P. and Procaccia, I., Characterization of strange attractors. Phys. Rev. Lett., 1983, 50(5), 346–349.
Paper not yet in RePEc: Add citation now
- Greenspan, A., We will never have a perfect model of risk. Financial Times, March 17, 2008.
Paper not yet in RePEc: Add citation now
Harrison, J.M. and Kreps, D.M., Speculative investor behavior in a stock market with heterogeneous expectations. Q. J. Econ., 1978, 92(2), 323–336.
Hommes, C.H., Heterogeneous agent models in economics and finance. Handb. Comput. Econ., 2006, 2, 1109–1186.
- Kendall, M.G., The analysis of economic time-series–part i: Prices. J. Royal Stat. Soc. Ser. A (General), 1953, 116(1), 11–34.
Paper not yet in RePEc: Add citation now
Kindleberger, C.P. and Aliber, R., Manias, Panics, and Crashes: A History of Financial Crises, 5th ed.., 2005 (John Wiley & Sons: Hoboken, NJ).
- Kleidon, A.W., Anomalies in financial economics: Blueprint for change?. J. Bus. 1986b, 59(4,2), S469–S499.
Paper not yet in RePEc: Add citation now
Kleidon, A.W., Bubbles, fads and stock price volatility tests: A partial evaluation: Discussion. J. Finance, 1988, 43(3), 656–660.
- Kleidon, A.W., Variance bounds tests and stock price valuation models. J. Political Econ., 1986a, 94(5), 953–1001.
Paper not yet in RePEc: Add citation now
Kocherlakota, N.R., Bubbles and constraints on debt accumulation. J. Econ. Theory, 1992, 57(1), 245–256.
Kocherlakota, N.R., Injecting rational bubbles. J. Econ. Theory, 2008, 142(1), 218–232.
LeRoy, S.F. and Porter, R.D., The present-value relation: Tests based on implied variance bounds. Econometrica, 1981, 49(3), 555–574.
LeRoy, S.F., Efficient capital markets and martingales. J. Econ. Literature, 1989, 27(4), 1583–1621.
- Mackay, C., Extraordinary Popular Delusions and the Madness of Crowds, 1932 (L. C. Page & Company: Boston, MA).
Paper not yet in RePEc: Add citation now
Marsh, T.A. and Merton, R.C., Dividend variability and variance bounds tests for the rationality of stock market prices. Am. Econ. Rev., 1986, 76(3), 483–498.
- Minsky, H.P., The financial instability hypothesis. In Financial Crises: Theory, edited by C.P. Kindleberger and J.P. Laffargue, pp. 13–39, History, and Policy, 1982 (Cambridge University Press: Cambridge, UK).
Paper not yet in RePEc: Add citation now
- Muth, J.F., Optimal properties of exponentially weighted forecasts. J. Am. Stat. Assoc., 1960, 55(290), 299–306.
Paper not yet in RePEc: Add citation now
Porter, D.P. and Smith, V.L., Stock market bubbles in the laboratory. Appl. Math. Finance, 1994, 1(2), 111–127.
Poterba, J.M. and Summers, L.H., Mean reversion in stock prices: Evidence and implications. J. Financial Econ., 1988, 22(1), 27–59.
- Salge, M., Rational Bubbles: Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market, 1997 (Springer: Berlin, Germany).
Paper not yet in RePEc: Add citation now
- Sandri, M., Numerical calculation of Lyapunov exponents. Math. J., 1996, 6(3), 78–84.
Paper not yet in RePEc: Add citation now
Santos, M.S. and Woodford, M., Rational asset pricing bubbles. Econometrica, 1997, 65(1), 19–57.
- Scheinkman, J.A. and Xiong, W., Heterogeneous beliefs, speculation and trading in financial markets. In Paris-Princeton Lectures on Mathematical Finance, edited by T.R. Bielecki, T. Björk, M. Jeanblanc, M. Rutkowski, J.A. Scheinkman andW. Xiong, pp. 217–250, 2003b (Springer-Verlag: Berlin, Germany).
Paper not yet in RePEc: Add citation now
- Scheinkman, J.A. and Xiong, W., Overconfidence and speculative bubbles. J. Political Econ., 2003a, 111(6), 1183–1219.
Paper not yet in RePEc: Add citation now
- Schumpeter, J.A., Business Cycles: A Theoretical, Historical, and Statistical Analysis of the Capitalist Process, 1939 (McGraw-Hill: New York, NY).
Paper not yet in RePEc: Add citation now
- Shiller, R.J., Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev., 1981a, 71(3), 421–436.
Paper not yet in RePEc: Add citation now
Shiller, R.J., Speculative prices and popular models. J. Econ. Perspectives, 1990, 4(2), 55–65.
Shiller, R.J., The Marsh-Merton model of managers’ smoothing of dividends. Am. Econ. Rev., 1986, 76(3), 499–503.
- Shiller, R.J., The use of volatility measures in assessing market efficiency. J. Finance, 1981b, 36(2), 291–304.
Paper not yet in RePEc: Add citation now
Shleifer, A. and Summers, L.H., The noise trader approach to finance. J. Econ. Perspectives, 1990, 4(2), 19–33.
Summers, L.H., Does the stock market rationally reflect fundamental values? J. Finance, 1986, 41(3), 591–601.
Swamy, P.A.V.B., Barth, J.R. and Tinsley, P.A., The rational expectations approach to economic modelling. J. Econ. Dyn. Control, 1982, 4, 125–147.
Tirole, J., Asset bubbles and overlapping generations. Econometrica, 1985, 53(6), 1499–1528.
Tirole, J., On the possibility of speculation under rational expectations. Econometrica, 1982, 50(5), 1163–1181.
- Tversky, A. and Kahneman, D., Judgment under uncertainty: Heuristics and biases. Science, 1974, 185(4157), 1124–1131.
Paper not yet in RePEc: Add citation now
Wang, P. and Wen, Y., Speculative bubbles and financial crisis. Technical Report 2009–029A, Federal Reserve Bank of St. Louis, Research Division, June 2009.
- West, K.D., Bubbles, fads and stock price volatility tests: A partial evaluation. J. Finance, 1988b, 43(3), 639–656.
Paper not yet in RePEc: Add citation now
- West, K.D., Dividend innovations and stock price volatility. Econometrica, 1988a, 56(1), 37–61.
Paper not yet in RePEc: Add citation now
- Youssefmir, M., Huberman, B.A. and Hogg, T., Bubbles and market crashes. Comput. Econ., 1998, 12(2), 97–114.
Paper not yet in RePEc: Add citation now