A nonlinear structural model for volatility clustering
A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and technical analysts.(...)
[Andrea Gaunersdorfer, Cars H. Hommes]<p>Dieses Arbeitspapier wurde mehrfach als Kongressbeitrag veröffentlicht.