A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting

DOI10.1007/978-3-642-29503-4_11zbMath1296.91120OpenAlexW131553224MaRDI QIDQ3191534

Xue-Zhong He, Thorsten Hüls, Carl Chiarella, Volker Böhm

Publication date: 2 October 2014

Published in: Global Analysis of Dynamic Models in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29503-4_11

zbMATH Keywords

asset pricingbifurcationsmean reversionautoregressive forecastingboundedly rational heterogeneous agents

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Economic dynamics (91B55)

Related Items

On areas of attraction and repulsion in finite time dynamical systems and their numerical approximation ⋮ A Contour Algorithm for Computing Stable Fiber Bundles of Nonautonomous, Noninvertible Maps