Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22059
Authors: 
Franke, Reiner
Year of Publication: 
2008
Series/Report no.: 
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2008,15
Abstract: 
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes remarkably close to that of real data at a daily frequency. The note argues that these long memory effects are to be ascribed to the stochastic specification of the price equation, which given the wide fluctuations in these models unduly fails to normalize the price shocks. Under an appropriate respecification, the long memory completely disappears.
Subjects: 
Volatility clustering
Autocorrelations of returns
Fundamentalists and trendfollowers
JEL: 
C15
D84
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
8.57 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.