Kirman, Alan; Teyssière, Gilles - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 4, pp. 1083-1083
We show that a class of microeconomic behavioral models with interacting agents, derived from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties of the two first-conditional moments of financial time series. The essence of these models is that the forecasts and...
