Similar Search Results - EconBiz

Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market

Westerhoff, Frank; Reitz, Stefan - In: Physica A: Statistical Mechanics and its Applications 349 (2005) 3, pp. 641-648

We develop a simple model with technical and fundamental traders to explain the cyclical motion of commodity prices. The crucial element of our model is a nonlinear market impact of technical traders: Estimation of our STAR-GARCH model using monthly US corn price data reveals that technical...

Persistent link: https://www.econbiz.de/10010588513

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Reitz, Stefan; Westerhoff, Frank - Center for Financial Studies - 2003

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10010958752

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Reitz, Stefan; Westerhoff, Frank - 2003

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10010311990

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Westerhoff, Frank; Reitz, Stefan - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 4, pp. 1125-1125

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10004966231

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Reitz, Stefan; Westerhoff, Frank - Center for Financial Studies - 2003

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10005600443

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

Westerhoff, Frank; Reitz, Stefan - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 4, pp. 1125-1125

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10005246268

Commodity price cycles and heterogeneous speculators: a STAR–GARCH model

Reitz, Stefan; Westerhoff, Frank - In: Empirical Economics 33 (2007) 2, pp. 231-244

Persistent link: https://www.econbiz.de/10005612958

Nonlinearities and cyclical behavior : the role of chartists and fundamentalists

Reitz, Stefan; Westerhoff, Frank H. - 2003

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10009765352

The influence of positive feedback trading on return autocorrelation: evidence for the German stock market

Bohl, Martin T.; Reitz, Stefan - In: Aktuelle Entwicklungen im Finanzdienstleistungsbereich …, (pp. 221-233). 2004

Persistent link: https://www.econbiz.de/10002033848

The influence of positive feedback trading on return autocorrelation : evidence for the German stock market

Bohl, Martin T.; Reitz, Stefan - 2002

Persistent link: https://www.econbiz.de/10001653648

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