Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/54994
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dc.contributor.authorFranke, Reineren_US
dc.contributor.authorWesterhoff, Franken_US
dc.date.accessioned2012-01-27en_US
dc.date.accessioned2012-02-03T13:07:39Z-
dc.date.available2012-02-03T13:07:39Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-931052-93-5en_US
dc.identifier.urihttp://hdl.handle.net/10419/54994-
dc.description.abstractThe paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model's goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.en_US
dc.language.isoengen_US
dc.publisher|aBERG |cBambergen_US
dc.relation.ispartofseries|aBERG Working Paper Series |x83en_US
dc.subject.jelD84en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordstructural stochastic volatilityen_US
dc.subject.keywordmethod of simulated momentsen_US
dc.subject.keywordautocorrelation patternen_US
dc.subject.keywordfat tailsen_US
dc.subject.keywordbootstrapped p-valuesen_US
dc.titleWhy a simple herding model may generate the stylized facts of daily returns: Explanation and estimationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684357275en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bamber:83-

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