Finite Bubbles in a Non-Bayesian Approach
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This paper presents two players' equilibrium model in which bubbles of security prices occur in finite time even when both players know that the prices are bubbles. We firstly describe a Bayesian model with asymmetric information mainly based on Conlon (2004, Econometrica) and secondly extends it to non-Bayesian setting in which players cannot identify the true probability but a set of probabilities with ambiguity aversion employing epsilon contamination. We proved that in non-Bayesian approach asymmetry of information is not necessary for the existence of bubbles and that bubble prices rise more steeply than those in Bayesian.
収録刊行物
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- 嘉悦大学研究論集
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嘉悦大学研究論集 60 (2), 43-53, 2018-03-14
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詳細情報 詳細情報について
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- CRID
- 1050001338899574528
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- NII書誌ID
- AA1171228X
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- 本文言語コード
- en
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- IRDB