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Heterogeneous Fundamentalists and Imitative Processes

Naimzada, Ahmad; Ricchiuti, Giorgio - Dipartimento di Economia, Metodi Quantitativi e … - 2006

Developing a model with a switching mechanism, we show how complex dynamics can be generated even though heterogeneity arises among agents with the same trading rules (fundamentalists). We assume that there are two experts which are imitated by other operators. We show that (i) market...

Persistent link: https://www.econbiz.de/10005685709

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous …'hétéroskédasticité autorégressive conditionnelle (les modèles de type ARCH). Nous suggérons plusieurs extensions des procédures usuelles (les …

Persistent link: https://www.econbiz.de/10005101027

Une analyse temps-fréquences des cycles financiers.

Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using U.S. quartely data, we find that cycles in the price-earning ratio are strong and better...

Persistent link: https://www.econbiz.de/10008788682