We show that a class of microeconomic behavioral models with interacting agents, introduced by Kirman (1991, 1993), can replicate the empirical long-memory properties of the two first conditional moments of financial time series. The essence of these models is that the forecasts and thus the desired trades of the individuals in the markets are influenced, directly, or indirectly by those of the other participants. These 'field effects' generate 'herding' behaviour which affects the structure of the asset price dynamics. The series of squared returns and absolute returns generated by these models display long-memory, while the returns are uncorrelated. Furthermore, this class of models is able to replicate the common long-memory properties in the volatility and co-volatility of financial time series, uncovered by Teyssière (1997, 1998). These properties are investigated by using various model independent tests and estimators, i.e., semiparametric and nonparametric, introduced by Lo (1991), Kwiatkowski, Phillips, Schmidt and Shin (1992), Robinson (1995), Lobato adn Robinson (1998), Giraitis, Kokoszka and Leipus (1999), Giraitis, Kokoszka, Leipus and Teyssière (1999). The relative performance of these tests and estimators for long-memory in an non-standard data generating process is then assessed.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Workshop Papers, January 2001 with number
5A.4.
Length: Date of creation: 04 Jan 2001 Date of revision: Handle: RePEc:ams:cdws01:5a.4
Contact details of provider: Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands Phone: + 31 20 525 52 58 Fax: + 31 20 525 52 83 Web page: http://www.fee.uva.nl/cendef/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)