A nonlinear structural model for volatility clustering

zbMATH Open1181.91343MaRDI QIDQ3400730FDOQ3400730

Authors: Andrea Gaunersdorfer, Cars Hommes 

Publication date: 5 February 2010

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zbMATH Keywords

time seriesheterogeneous agentsvolatility clustering

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

Cited In (32)

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• Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
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• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
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• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market
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• Genetic learning as an explanation of stylized facts of foreign exchange markets
• Asset prices, traders' behavior and market design
• Estimation of heuristic switching in behavioral macroeconomic models
• Nonparametric dependence modeling via cluster analysis: A financial contagion application
• Some reflections on past and future of nonlinear dynamics in economics and finance

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