Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Reiner Franke, Frank Westerhoff

Year of publication:	April 2016
Authors:	Franke, Reiner ; Westerhoff, Frank H.
Published in:	Journal of economic interaction and coordination : JEIC. - Berlin : Springer, ISSN 1860-711X, ZDB-ID 2239073-X. - Vol. 11.2016, 1, p. 1-34
Subject:	Structural stochastic volatility \| Method of simulated moments \| Autocorrelation pattern \| Fat tails \| Bootstrapped p values \| Volatilität \| Volatility \| Herdenverhalten \| Herding \| Kapitaleinkommen \| Capital income \| Schätztheorie \| Estimation theory \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process \| Bootstrap-Verfahren \| Bootstrap approach \| Statistische Verteilung \| Statistical distribution \| Simulation

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