A nonlinear structural model for volatility clustering

By Andrea Gaunersdorfer, Cars H. Hommes. 2000

185 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/835588341ee874ed7f81ba4deed992303286f93d

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Citations in the corpus

Exchange rate puzzles: A tale of switching attractors (2006, unknown): “It should be noted that similar models with heterogenous agents applied to the stock markets have been equally successful in replicating fat tails and excess kurtosis (see Lux and Marchesi(1999, 2000), Kirman and Teysierr(2000), LeBaron, et al. (1999), and Gaunersdorfer and Hommes(2000)).”
Power-law behaviour, heterogeneity, and trend chasing (2007, methodology): “This argument is supported by Giardina and Bouchaud (2003) and Lux and Schornstein (2005).”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, methodology): “1 For specific examples see Gaunersdorfer and Hommes (2007); He and Li (2008); Franke and Westerhoff (2009) and Franke (2010). 2 Such a modelling device is also used in Zhu et al.”
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, methodology): “…HAMs explaining these stylized facts include Brock and LeBaron (1996), Arthur et al. (1997), Youssefmir and Huberman (1997), LeBaron et al. (1999), Farmer and Joshi (2002), Kirman and Teyssière (2002), Hommes (2002), Iori (2002), Giardina and Bouchaud (2003) and Gaunersdorfer and Hommes (2005).”
Asset price and wealth dynamics under heterogeneous expectations (2001, unknown): “…He (2000, 2001c), Day and Huang (1990), Franke and Nesemann (1999), Franke and Sethi (1998), Frankel and Froot (1986, 1987), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000), Gaunersdorfer et al (2000), Hommes (2001), Lux (1995, 1996, 1997, 1998), Lux and Marchesi (1999, 2001) and Sethi…”
Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001, methodology): “This makes the analysis easier than in Kirman (1999) and Gaunersdorfer and Hommes (2000), which used an evolutionary mechanism based on the relative performance of the forecast functions of chartists and fundamentalists.”
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).”
Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “Chiarella et al. (2006), Alfarano et al. (2005), Gaunersdorfer and Hommes (2007) , and He and Li (2007).”
Evolutionary dynamics in markets with many trader types (2005, background): “…systems with boundedly rational interacting agents have e.g. been studied in Arthur et al. (1997), Brock and Hommes (1997ab,1998), Chiarella and He (2000,2002), Farmer (1998), Gaunersdorfer and Hommes (2000), Kirman (1991), LeBaron et al. (1999), Lux (1995) and Lux and Marchesi (1999,2000).”