An evolutionary game theory explanation of ARCH effects

DOI10.1016/J.JEDC.2006.05.013MaRDI QIDQ1027364zbMATH OpenOpenAlexFDO

Authors William R. Parke, George A. Waters

Publication date 1 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://cdr.lib.unc.edu/downloads/9k41zp795

zbMATH Keywords

ARCHautoregressive conditional heteroskedasticityevolutionary game theoryrational expectations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Evolutionary games (91A22)

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Cites work

• A nonlinear structural model for volatility clustering
• A Rational Route to Randomness
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• ARCH modeling in finance. A review of the theory and empirical evidence
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• Time series properties of an artificial stock market
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(9)

• Chaos in the cobweb model with a new learning dynamic
• Two-sided matching and strategic selection on freight resource sharing platforms
• Instability in the cobweb model under the BNN dynamic
• Dynamic Restriction of Choices: Synthesis of Societal Rules
• Stability and stabilization of evolutionary games with time delays via matrix method
• Dynamics of choice restriction in large games
• An evolutionary alternative to rational expectations models of stock markets
• Noncausality and asset pricing
• Modeling noisy learning in a dynamic oligopoly experiment

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