A nonlinear structural model for volatility clustering
A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and technical...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
2000
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/380/1/document.pdf |