Microfounding GARCH models and beyond : a Kyle-inspired model with adaptive agents
Year of publication: |
2023
|
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Authors: | Vodret, Michele ; Mastromatteo, Iacopo ; Tóth, Bence ; Benzaquen, Michael |
Published in: |
Journal of economic interaction and coordination. - Berlin : Springer, ISSN 1860-7128, ZDB-ID 2237855-8. - Vol. 18.2023, 3, p. 599-625
|
Subject: | Adaptive agents | Excess volatility | Price impact | Volatility clustering | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Agentenbasierte Modellierung | Agent-based modeling | Börsenkurs | Share price |
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