Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation
Year of publication: |
2011
|
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Authors: | Franke, Reiner ; Westerhoff, Frank |
Publisher: |
Bamberg : Bamberg University, Bamberg Economic Research Group (BERG) |
Subject: | structural stochastic volatility | method of simulated moments | autocorrelation pattern | fat tails | bootstrapped p-values |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-931052-93-5 |
Other identifiers: | 684357275 [GVK] hdl:10419/54994 [Handle] RePEc:zbw:bamber:83 [RePEc] |
Classification: | D84 - Expectations; Speculations ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
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Franke, Reiner, (2011)
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Franke, Reiner, (2016)
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