A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
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- Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milaković, 2011.
"Switching Rates And The Asymptotic Behavior Of Herding Models,"
Advances in Complex Systems (ACS),
World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 359-376.
- Irle, Albrecht & Kauschke, Jonas & Lux, Thomas & Milaković, Mishael, 2010. "Switching rates and the asymptotic behavior of herding models," Kiel Working Papers 1595, Kiel Institute for the World Economy (IfW).
- Liu, Ruipeng & Di Matteo, T. & Lux, Thomas, 2007.
"True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 383(1), pages 35-42.
- Ruipeng Liu & T. Di Matteo & Thomas Lux, 2007. "True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence," Papers 0704.1338, arXiv.org.
- Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2007. "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Economics Working Papers 2007-06, Christian-Albrechts-University of Kiel, Department of Economics.
- Thomas Lux & Di Matteo & Liu Ruipeng, 2007. "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Working Papers wp07-12, Warwick Business School, Finance Group.
- Thomas Lux, 2007. "Collective Opinion Formation in a Business Climate Survey," Working Papers wp07-10, Warwick Business School, Finance Group.
- Reiner Franke, 2008. "A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization," Working Papers wp08-02, Warwick Business School, Finance Group.
- Franke, Reiner, 2009. "Applying the method of simulated moments to estimate a small agent-based asset pricing model," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 804-815, December.
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