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Individual expectations and aggregate behavior in learning-to-forecast experiments
Hommes, Cars H.; Lux, Thomas - In: Macroeconomic dynamics 17 (2013) 2, pp. 373-401
Persistent link: https://www.econbiz.de/10009754577
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Individual expectations and aggregate behavior in learning to forecast experiments
Hommes, Cars (contributor); Lux, Thomas (contributor) - 2008
Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations...
Persistent link: https://www.econbiz.de/10003777257
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Volatility
Andersen, Torben - 1992
Persistent link: https://www.econbiz.de/10000914157
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000609240
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GMM estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809