Concepedia

Heterogeneous Agent Factor Models

Heterogeneous Agent Factor Models is a class of asset pricing models in financial econometrics that extends traditional factor models by incorporating cross-sectional heterogeneity in agent characteristics, preferences, or information sets to explain differential responses of asset returns to common risk factors.

13

Publications

713

Citations

24

Authors

28

Institutions

Publications per year

2017–2026

3

Parents

Publications

13

How Important Is Human Capital? A Quantitative Theory Assessment of World Income Inequality

Andrés Erosa, Tatyana Koreshkova, Diego Restuccia · The Review of Economic Studies · 2010 · 240 citations

, , +16

Equilibria in financial markets with heterogeneous agents: a probabilistic perspective

Hans Föllmer, Ulrich Horst, Alan Kirman · Journal of Mathematical Economics · 2005 · 123 citations

, , +16

Financial crises and interacting heterogeneous agents

Weihong Huang, Huanhuan Zheng, Wai‐Mun Chia · Journal of Economic Dynamics and Control · 2010 · 88 citations

, , +14

Wealth-driven selection in a financial market with heterogeneous agents

Mikhail Anufriev, Pietro Dindo · Journal of Economic Behavior & Organization · 2009 · 47 citations · Full text

, , +15

Secular Drivers of the Natural Rate of Interest in the United States: A Quantitative Evaluation

Josef Platzer, Marcel Peruffo · IMF Working Paper · 2022 · 44 citations · Full text

, , +11

1–5 of 13

Authors

24

  1. MA
    Mikhail Anufriev

    University of Technology Sydney, Australia

    2 publications · 71 citations

    2

    h-index

  2. TK
    Tatyana Koreshkova

    Federal Reserve Bank of Atlanta, United States

    2 publications · 250 citations

    2

    h-index

  3. AE
    Andrés Erosa

    University of Toronto, Canada

    2 publications · 250 citations

    2

    h-index

  4. DR
    Diego Restuccia

    University of Toronto, Canada

    2 publications · 250 citations

    2

    h-index

  5. JP
    Josef Platzer

    National University of Singapore, Singapore

    1 publications · 44 citations

    1

    h-index

1–5 of 24

Institutions

28

  1. University of Toronto

    Toronto, Canada

    2 h-index

    2 publications

    250 citations

  2. Madrid Institute for Advanced Studies

    Madrid, Spain

    2 h-index

    2 publications

    250 citations

  3. Concordia University

    Montreal, Canada

    2 h-index

    2 publications

    250 citations

  4. University of Amsterdam

    Amsterdam, The Netherlands

    2 h-index

    2 publications

    71 citations

  5. Scuola Superiore Sant'Anna

    Pisa, Italy

    1 h-index

    2 publications

    94 citations

  6. VSB - Technical University of Ostrava

    Ostrava, Czechia

    1 h-index

    1 publications

    24 citations

  7. Centre for Economic Policy Research

    London, United Kingdom

    1 h-index

    1 publications

    39 citations

  8. National University of Singapore

    Singapore, Singapore

    1 h-index

    2 publications

    88 citations

1–8 of 28

Venues

  1. Journal of Economic Behavior & Organization

    2 publications · 57 citations

    2

    h-index

  2. Journal of Economic Dynamics and Control

    2 publications · 112 citations

    2

    h-index

  3. IMF Working Paper

    2 publications · 55 citations

    2

    h-index

  4. The Review of Economic Studies

    1 publications · 240 citations

    1

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 1 publications · 10 citations

    1

    h-index

1–5