Microfounding GARCH models and beyond : a Kyle-inspired model with adaptive agents
Michele Vodret, Iacopo Mastromatteo, Bence Tóth, Michael Benzaquen
| Year of publication: |
2023
|
|---|---|
| Authors: | Vodret, Michele ; Mastromatteo, Iacopo ; Tóth, Bence ; Benzaquen, Michael |
| Published in: |
Journal of economic interaction and coordination. - Berlin : Springer, ISSN 1860-7128, ZDB-ID 2237855-8. - Vol. 18.2023, 3, p. 599-625
|
| Subject: | Adaptive agents | Excess volatility | Price impact | Volatility clustering | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Börsenkurs | Share price | Agentenbasierte Modellierung | Agent-based modeling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11403-023-00379-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014323456