Microeconomic Models for Long Memory in the Volatility of Financial Time Series

By Alan Kirman, Gilles Teyssière. 2001

197 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/12c173aa6eaf60326dcc77434a955e659611da8f

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Citations in the corpus

Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, background): “Kirman and Teyssière (2002) discuss stylized facts, such as clustered volatility and long memory, generated by the model in more detail.”
Agent-based Computational Finance (2006, background): “Kirman & Teyssiere (2001) is another model capable of generating long memory like effects in return volatility.”
Financial markets as nonlinear adaptive evolutionary systems (2001, background): “…al (1990), Farmer (1998), Farmer and Joshi (2000), Frankel and Froot (1988), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000), Kirman (1991), Kirman and Teyssière (2000), Kurz (1997), LeBaron (2000), LeBaron et al (1999), Lux (1995), Lux and Marchesi (1999a, b), Wang (1994) and Zeeman…”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “…and LeBaron (1996), Arthur et al. (1997), Brock and Hommes (1997b), Youssefmir and Huberman (1997), LeBaron et al. (1999), Lux and Marchesi (1999,2000), Farmer and Joshi (2002), Kirman and Teyssière (2002), Hommes (2002), Iori (2002), Cont and Bouchaud (2000) and Gaunersdorfer and Hommes (2007).”
Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005, background): “Essentially, during a macro-time ∆t, z is averaged over the movement of many agents between the two states (see [2] for more details). the presence of two sources of randomness, namely z and ξ.”
Rescaled variance and related tests for long memory in volatility and levels (2003, unknown): “Tables 1, 2 include also the empirical sizes and powers of the Lobato–Robinson test for long memory which uses the automatic bandwidth selection procedure proposed by Lobato and Robinson (1998) (see also Kirman and TeyssiÂ ere, 2002).”
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective (2005, background): “Whilst this introduces such characteristics as “excess volatility” and “long memory” in the price process, see Kirman and Teyssiere (2002) , it presents a major diculty from an analytical point of view.”
Long range dependence in financial markets (2005, unknown): “Kirman and Teyssi` ere [ 37 ] have proposed a variant of [36] in which the proportion α(t) of fundamentalists in the market follows a Markov chain, of the type used in epidemiological models, describing herding of opinions.”