structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and … these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so … good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding …

herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … absolute and squared returns increase with herding and trend chasing based on long time horizon. On the other hand, the … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …