Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation
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DOI: 10.1007/s11403-014-0140-6
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- Franke, Reiner & Westerhoff, Frank, 2011. "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series 83, Bamberg University, Bamberg Economic Research Group.
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"Taxing financial transactions in fundamentally heterogeneous markets,"
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- Edoardo Gaffeo & Massimo Molinari, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," Working Papers 175, University of Rome La Sapienza, Department of Public Economics.
- Edoardo Gaffeo & Massimo Molinari, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/07, Department of Economics and Management.
- Barde, Sylvain, 2016. "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 329-353.
- Fabio Tramontana, 2013. "The role of cognitively biased imitators in a small scale agent-based financial market," DEM Working Papers Series 029, University of Pavia, Department of Economics and Management.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
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- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
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More about this item
Keywords
Structural stochastic volatility; Method of simulated moments; Autocorrelation pattern; Fat tails; Bootstrapped $$p$$ p values;JEL classification:
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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