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On Modelling Speculative Prices: The Empirical Literature
Author(s) -
Andreou Elena,
Pittis Nikitas,
Spanos Aris
Publication year - 2001
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/1467-6419.00136
Subject(s) - economics , probabilistic logic , econometrics , statistical model , trace (psycholinguistics) , capital asset pricing model , asset (computer security) , financial economics , empirical research , mathematical economics , computer science , mathematics , statistics , linguistics , philosophy , computer security
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.