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Microeconomic models for long-memory in the volatility of financial time series Author info | Abstract | Publisher info | Download info | Related research | Statistics KIRMAN, Alan
TEYSSIéRE, Gilles
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We show that a class of microeconomic behavioral models with interacting agents, derived from 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 returns generated by these models display the same empirical properties as financial returns: returns are I(0), the series of absolute and squared returns display strong dependence, while the series of absolute returns do not display a trend. Furthermore, this class of models is able to replicate the common long-memory properties in the volatility and co-volatility of financial time series, revealed by Teyssi
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number
2002056.
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Date of creation: 00 Mar 2002Date of revision:
Handle: RePEc:cor:louvco:2002056Contact details of provider: Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium) Phone: 32(10)474321 Fax: +32 10474301 Email: Web page: http://www.uclouvain.be/core More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Alain GILLIS).
Keywords: long-memory ; microeconomic models ; Þeld effects ; semiparametric tests ; conditional heteroskedasticity ; Other versions of this item:
Find related papers by JEL classification: C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions D40 - Microeconomics - - Market Structure and Pricing - - - General
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