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https://hdl.handle.net/10419/54994
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Franke, Reiner | en |
dc.contributor.author | Westerhoff, Frank | en |
dc.date.accessioned | 2012-01-27 | - |
dc.date.accessioned | 2012-02-03T13:07:39Z | - |
dc.date.available | 2012-02-03T13:07:39Z | - |
dc.date.issued | 2011 | - |
dc.identifier.isbn | 978-3-931052-93-5 | en |
dc.identifier.uri | http://hdl.handle.net/10419/54994 | - |
dc.description.abstract | The 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 |
dc.language.iso | eng | en |
dc.publisher | |aBamberg University, Bamberg Economic Research Group (BERG) |cBamberg | en |
dc.relation.ispartofseries | |aBERG Working Paper Series |x83 | en |
dc.subject.jel | D84 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | G15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | structural stochastic volatility | en |
dc.subject.keyword | method of simulated moments | en |
dc.subject.keyword | autocorrelation pattern | en |
dc.subject.keyword | fat tails | en |
dc.subject.keyword | bootstrapped p-values | en |
dc.title | Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 684357275 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bamber:83 | en |
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