create a website

The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
In: Hannover Economic Papers (HEP).
RePEc:han:dpaper:dp-613.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 83

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-628.

    Full description at Econpapers || Download paper

  2. The Long Memory of Equity Volatility: International Evidence. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-614.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alfarano, S., & Lux, T. (2007). A noise trader model as a generator of apparent financial power laws and long memory. Macroeconomic Dynamics, 11(S1), 80–101.

  2. Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics, 118(1), 135–167.

  3. Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.

  4. Ang, A., Chen, J., & Xing, Y. (2006a). Downside risk. Review of Financial Studies, 19(4), 1191–1239.

  5. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006b). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259–299.

  6. Ang, A., Liu, J., & Schwarz, K. (2010). Using individual stocks or portfolios in tests of factor models. Working Paper, Columbia University.
    Paper not yet in RePEc: Add citation now
  7. Baillie, R. T. (1996). Long memory processes and fractional integration in econometrics. Journal of Econometrics, 73(1), 5–59.

  8. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3–30.

  9. Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427–446.

  10. Baltussen, G., Van Bekkum, S., & Van der Grient, B. (2016). Unknown unknowns: Volof -vol and the cross section of stock returns. Journal of Financial and Quantitative Analysis, forthcoming.
    Paper not yet in RePEc: Add citation now
  11. Bandi, F. M., & Perron, B. (2006). Long memory and the relation between implied and realized volatility. Journal of Financial Econometrics, 4(4), 636–670.

  12. Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1–30.

  13. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., & Shephard, N. (2009). Realized kernels in practice: Trades and quotes. Econometrics Journal, 12(3), 1–33.

  14. Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013). Long-memory processes: Probabilistic properties and statistical methods. Springer, Heidelberg, 2013.
    Paper not yet in RePEc: Add citation now
  15. Berger, D., Chaboud, A., & Hjalmarsson, E. (2009). What drives volatility persistence in the foreign exchange market? Journal of Financial Economics, 94(2), 192–213.

  16. Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45(3), 444–455.

  17. Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623–685.

  18. Bollerslev, T., & Mikkelsen, H. O. (1996). Modeling and pricing long memory in stock market volatility. Journal of Econometrics, 73(1), 151–184.

  19. Bollerslev, T., & Wright, J. H. (2000). Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Journal of Econometrics, 98(1), 81–106.

  20. Bollerslev, T., Marrone, J., Xu, L., & Zhou, H. (2014). Stock return predictability and variance risk premia: Statistical inference and international evidence. Journal of Financial and Quantitative Analysis, 49(3), 633–661.

  21. Breidt, F. J., Crato, N., & De Lima, P. (1998). The detection and estimation of long memory in stochastic volatility. Journal of Econometrics, 83(1), 325–348.

  22. Campbell, J. Y., & Thompson, S. B. (2008). Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies, 21(4), 1509– 1531.

  23. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82.

  24. Chan, K., & Chen, N.-F. (1991). Structural and return characteristics of small and large firms. Journal of Finance, 46(4), 1467–1484.

  25. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174–196.

  26. Cremers, M., Halling, M., & Weinbaum, D. (2015). Aggregate jump and volatility risk in the cross-section of stock returns. Journal of Finance, 70(2), 577–614.

  27. Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221–247.

  28. Diebold, F. X., & Rudebusch, G. D. (1989). Long memory and persistence in aggregate output. Journal of Monetary Economics, 24(2), 189–209.

  29. Ding, Z., & Granger, C. W. (1996). Modeling volatility persistence of speculative returns: A new approach. Journal of Econometrics, 73(1), 185–215.

  30. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465.

  31. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.

  32. Fama, E. F., & French, K. R. (2008). Dissecting anomalies. Journal of Finance, 63(4), 1653–1678.

  33. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.

  34. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636.

  35. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1–25.

  36. Geweke, J., & Porter-Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, 4(4), 221–238.
    Paper not yet in RePEc: Add citation now
  37. Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. Quarterly Journal of Economics, 116(1), 229–259.

  38. Granger, C. W. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121–130.

  39. Granger, C. W., & Joyeux, R. (1980). An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15–29.

  40. Henry, O. T. (2002). Long memory in stock returns: Some international evidence. Applied Financial Economics, 12(10), 725–729.

  41. Hillert, A., Jacobs, H., & Müller, S. (2014). Media makes momentum. Review of Financial Studies, 27(12), 3467–3501.

  42. Hollstein, F., & Prokopczuk, M. (2017). How aggregate volatility-of-volatility affects stock returns. Review of Asset Pricing Studies, forthcoming.
    Paper not yet in RePEc: Add citation now
  43. Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance, 55(1), 265–295.

  44. Hosking, J. R. (1981). Fractional differencing. Biometrika, 68(1), 165–176.
    Paper not yet in RePEc: Add citation now
  45. Hou, J., & Perron, P. (2014). Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, 182(2), 309–328.

  46. Hou, K., Xue, C., & Zhang, L. (2014). Digesting anomalies: An investment approach. Review of Financial Studies, 28, 650–705.
    Paper not yet in RePEc: Add citation now
  47. Hurst, H. E. (1951). Long-term storage capacity of reservoirs. American Society of Civil Engineers, 116, 770–799.
    Paper not yet in RePEc: Add citation now
  48. Hurvich, C. M., & Deo, R. S. (1999). Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Journal of Time Series Analysis, 20(3), 331–341.

  49. Hurvich, C. M., & Ray, B. K. (2003). The local Whittle estimator of long-memory stochastic volatility. Journal of Financial Econometrics, 1(3), 445–470.

  50. Hurvich, C. M., Moulines, E., & Soulier, P. (2005). Estimating long memory in volatility.

  51. Jacod, J., & Todorov, V. (2009). Testing for common arrivals of jumps for discretely observed multidimensional processes. The Annals of Statistics, 37, 1792–1838.
    Paper not yet in RePEc: Add citation now
  52. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45(3), 881–898.

  53. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65–91.

  54. Jiang, G. J., & Oomen, R. C. (2008). Testing for jumps when asset prices are observed with noise: A swap variance approach. Journal of Econometrics, 144(2), 352–370.

  55. Jiang, G. J., & Yao, T. (2013). Stock price jumps and cross-sectional return predictability.

  56. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–291.

  57. Kelly, B., & Jiang, H. (2014). Editor’s choice tail risk and asset prices. Review of Financial Studies, 27(10), 2841–2871.

  58. Kirman, A. (1993). Ants, rationality, and recruitment. Quarterly Journal of Economics, 108(1), 137–156.

  59. Lakonishok, J., Shleifer, A., Vishny, R. W., Hart, O., & Perry, G. L. (1992). The structure and performance of the money management industry. Brookings Papers on Economic Activity. Microeconomics, 1992, 339–391.

  60. LeBaron, B. (2006). Agent-based financial markets: Matching stylized facts with style. Post Walrasian Macroeconomics: Beyond the DSGE Model, Edited by: Colander, DC, 221–236. Cambridge: Cambridge University Press.

  61. Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new nonparametric test and jump dynamics. Review of Financial Studies, 21(6), 2535–2563.

  62. Lewellen, J., Nagel, S., & Shanken, J. (2010). A skeptical appraisal of asset pricing tests. Journal of Financial Economics, 96(2), 175–194.

  63. Leybourne, S., Taylor, R., & Kim, T.-H. (2007). Cusum of squares-based tests for a change in persistence. Journal of Time Series Analysis, 28(3), 408–433.

  64. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13–37.
    Paper not yet in RePEc: Add citation now
  65. Lo, A. W., & MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? Review of Financial Studies, 3(2), 175–205.

  66. Lobato, I. N., & Savin, N. E. (1998). Real and spurious long-memory properties of stock-market data. Journal of Business & Economic Statistics, 16(3), 261–268.

  67. Müller, U. A., Dacorogna, M. M., Davé, R. D., Pictet, O. V., Olsen, R. B., & Ward, J. R. (1993). Fractals and intrinsic time: A challenge to econometricians. 39th International AEA Conference on Real Time Econometrics, 14-15 October 1993, Luxembourg.
    Paper not yet in RePEc: Add citation now
  68. Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42(3), 483–510.

  69. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783.
    Paper not yet in RePEc: Add citation now
  70. Nagel, S. (2005). Short sales, institutional investors and the cross-section of stock returns. Journal of Financial Economics, 78(2), 277–309.

  71. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–08.

  72. Perez-Quiros, G., & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. Journal of Finance, 55(3), 1229–1262.

  73. Peters, E. E. (1994). Fractal market analysis: Applying chaos theory to investment and economics, vol. 24. John Wiley, Hoboken, NJ.
    Paper not yet in RePEc: Add citation now
  74. Pukthuanthong, K., & Roll, R. (2015). Internationally correlated jumps. Review of Asset Pricing Studies, 5(1), 92–111.

  75. Robinson, P. M. (1995a). Gaussian semiparametric estimation of long range dependence.
    Paper not yet in RePEc: Add citation now
  76. Robinson, P. M. (1995b). Log-periodogram regression of time series with long range dependence. The Annals of Statistics, 23(3), 1048–1072.
    Paper not yet in RePEc: Add citation now
  77. Sadique, S., & Silvapulle, P. (2001). Long-term memory in stock market returns: International evidence. International Journal of Finance & Economics, 6(1), 59–67.

  78. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.

  79. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777–790.

  80. Sibbertsen, P., & Kruse, R. (2009). Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis, 30(3), 263–285.

  81. Sibbertsen, P., Wegener, C., & Basse, T. (2014). Testing for a break in the persistence in yield spreads of EMU government bonds. Journal of Banking & Finance, 41, 109–118.

  82. Whittle, P. (1951). Hypothesis testing in time series analysis. Almquist & Wiksells, Uppsala.
    Paper not yet in RePEc: Add citation now
  83. Zhang, L., Mykland, P. A., & Aït-Sahalia, Y. (2005). A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 100(472), 1394–1411. The Memory of Stock Return Volatility: Asset Pricing Implications Online Appendix

Cocites

Documents in RePEc which have cited the same bibliography

  1. Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Shi, Shuping ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2334.

    Full description at Econpapers || Download paper

  2. Social Finance: Cultural Evolution, Transmission Bias and Market Dynamics. (2020). Hirshleifer, David ; Akcay, Erol.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27745.

    Full description at Econpapers || Download paper

  3. Beta uncertainty. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

    Full description at Econpapers || Download paper

  4. The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

    Full description at Econpapers || Download paper

  5. Long Memory via Networking. (2018). Schennach, Susanne.
    In: Econometrica.
    RePEc:wly:emetrp:v:86:y:2018:i:6:p:2221-2248.

    Full description at Econpapers || Download paper

  6. Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach. (2018). Chen, Zhenxi ; Lux, Thomas.
    In: Computational Economics.
    RePEc:kap:compec:v:52:y:2018:i:3:d:10.1007_s10614-016-9638-4.

    Full description at Econpapers || Download paper

  7. Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37.

    Full description at Econpapers || Download paper

  8. Market entry waves and volatility outbursts in stock markets. (2017). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne.
    In: BERG Working Paper Series.
    RePEc:zbw:bamber:128.

    Full description at Econpapers || Download paper

  9. The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-613.

    Full description at Econpapers || Download paper

  10. Time-varying persistence of inflation: evidence from a wavelet-based approach. (2017). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Stephen, Miller ; Rangan, Gupta ; Giorgio, Canarella ; Heni, Boubaker.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:6.

    Full description at Econpapers || Download paper

  11. TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS. (2017). Westerhoff, Frank ; Veneziani, Roberto ; Franke, Reiner ; Zamparelli, Luca.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:31:y:2017:i:5:p:1152-1182.

    Full description at Econpapers || Download paper

  12. Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility. (2016). Lux, Thomas ; Ghonghadze, Jaba.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:1-19.

    Full description at Econpapers || Download paper

  13. Financial power laws: Empirical evidence, models, and mechanisms. (2016). Alfarano, Simone ; Lux, Thomas.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:88:y:2016:i:c:p:3-18.

    Full description at Econpapers || Download paper

  14. Can Internet Search Queries Help to Predict Stock Market Volatility?. (2016). Dimpfl, Thomas ; Jank, Stephan.
    In: European Financial Management.
    RePEc:bla:eufman:v:22:y:2016:i:2:p:171-192.

    Full description at Econpapers || Download paper

  15. Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility. (2015). Lux, Thomas ; Ghonghadze, Jaba.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:38.

    Full description at Econpapers || Download paper

  16. Estimation of sentiment effects in financial markets: A simulated method of moments approach. (2015). Chen, Zhenxi ; Lux, Thomas ; Zhenxi, Chen .
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:37.

    Full description at Econpapers || Download paper

  17. Identification of Social Interaction Effects in Financial Data. (2015). Jang, Tae-Seok.
    In: Computational Economics.
    RePEc:kap:compec:v:45:y:2015:i:2:p:207-238.

    Full description at Econpapers || Download paper

  18. Forecasting volatility with empirical similarity and Google Trends. (2015). Heiden, Moritz ; Hamid, Alain .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:117:y:2015:i:c:p:62-81.

    Full description at Econpapers || Download paper

  19. Confidence and the Stock Market: An Agent-Based Approach. (2014). Bertella, Mario A ; Feng, Ling ; Stanley, Harry Eugene ; Pires, Felipe R.
    In: PLOS ONE.
    RePEc:plo:pone00:0083488.

    Full description at Econpapers || Download paper

  20. The effect of round-off error on long memory processes. (2014). La Spada, Gabriele ; Fabrizio, Lillo ; Gabriele, La Spada .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:18:y:2014:i:4:p:38:n:5.

    Full description at Econpapers || Download paper

  21. Patterns of regional travel behavior: An analysis of Japanese hotel reservation data. (2012). Sato, Aki-Hiro.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:23:y:2012:i:c:p:55-65.

    Full description at Econpapers || Download paper

  22. Chaos in German stock returns — New evidence from the 0–1 test. (2012). Webel, Karsten.
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:3:p:487-489.

    Full description at Econpapers || Download paper

  23. An adaptive stochastic model for financial markets. (2012). Benito, Rosa Maria ; Losada, Juan Carlos ; Hernandez, Juan Antonio.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:45:y:2012:i:6:p:899-908.

    Full description at Econpapers || Download paper

  24. Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios. (2012). Sushko, Vladyslav ; Nirei, Makoto ; Stamatiou, Theodoros .
    In: BIS Working Papers.
    RePEc:bis:biswps:371.

    Full description at Econpapers || Download paper

  25. Can Internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:18.

    Full description at Econpapers || Download paper

  26. Can internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1115.

    Full description at Econpapers || Download paper

  27. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
    In: MPRA Paper.
    RePEc:pra:mprapa:30902.

    Full description at Econpapers || Download paper

  28. Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. (2011). Ghonghadze, Jaba ; Lux, Thomas.
    In: Post-Print.
    RePEc:hal:journl:hal-00711445.

    Full description at Econpapers || Download paper

  29. The asymptotic behavior of the R/S statistic for fractional Brownian motion. (2011). Kliemann, Wolfgang ; Yu, Cindy ; Carriquiry, Alicia.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:81:y:2011:i:1:p:83-91.

    Full description at Econpapers || Download paper

  30. Switching rates and the asymptotic behavior of herding models. (2010). Milaković, Mishael ; Kauschke, Jonas ; Irle, Albrecht ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1595.

    Full description at Econpapers || Download paper

  31. Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models. (2010). Westerhoff, Frank ; Hermsen, Oliver ; Witte, Bjorn-Christopher .
    In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
    RePEc:zbw:ifweej:20107.

    Full description at Econpapers || Download paper

  32. Does Basel II destabilize financial markets? An agent-based financial market perspective. (2010). Hermsen, O..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:73:y:2010:i:1:p:29-40.

    Full description at Econpapers || Download paper

  33. Modeling the dynamics of EU economic sentiment indicators: an interaction-based approach. (2009). Lux, Thomas ; Ghonghadze, Jaba.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1487.

    Full description at Econpapers || Download paper

  34. Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models. (2009). Westerhoff, Frank ; Hermsen, Oliver ; Witte, Bjorn-Christopher .
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:200951.

    Full description at Econpapers || Download paper

  35. A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

    Full description at Econpapers || Download paper

  36. Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. (2009). Lux, Thomas.
    In: Post-Print.
    RePEc:hal:journl:hal-00720175.

    Full description at Econpapers || Download paper

  37. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey. (2009). Lux, Thomas.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:72:y:2009:i:2:p:638-655.

    Full description at Econpapers || Download paper

  38. Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach. (2009). Schröder, Michael ; Menkhoff, Lukas ; Rebitzky, Rafael R. ; Schroder, Michael.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:70:y:2009:i:1-2:p:241-252.

    Full description at Econpapers || Download paper

  39. LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET. (2009). Georges, Christophre ; Wallace, John C..
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:13:y:2009:i:05:p:625-655_08.

    Full description at Econpapers || Download paper

  40. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1426.

    Full description at Econpapers || Download paper

  41. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1424.

    Full description at Econpapers || Download paper

  42. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7328.

    Full description at Econpapers || Download paper

  43. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7327.

    Full description at Econpapers || Download paper

  44. Staggered updating in an artificial financial market. (2008). Georges, Christophre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:9:p:2809-2825.

    Full description at Econpapers || Download paper

  45. Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach. (2008). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:1:p:101-136.

    Full description at Econpapers || Download paper

  46. Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach. (2008). Schröder, Michael ; Menkhoff, Lukas ; Rebitzky, Rafael R. ; Schroder, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2502.

    Full description at Econpapers || Download paper

  47. Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model. (2008). Cristelli, Matthieu ; Alfi, V. ; Pietronero, L. ; Zaccaria, A..
    In: Papers.
    RePEc:arx:papers:0811.4256.

    Full description at Econpapers || Download paper

  48. Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching. (2007). Lux, Thomas ; Kaizoji, Taisei.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:6:p:1808-1843.

    Full description at Econpapers || Download paper

  49. Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching. (2006). Lux, Thomas ; Kaizoji, Taisei.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5160.

    Full description at Econpapers || Download paper

  50. Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach. (2005). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:3560.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-20 20:13:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.