Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373
, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are … absolute and squared returns increase with the intensities of herding and trend chasing based on long time horizon. However an …