کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099647 | 1377021 | 2007 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An evolutionary game theory explanation of ARCH effects
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
While ARCH/GARCH equations have been widely used to model financial market data, formal explanations for the sources of conditional volatility are scarce. This paper presents a model with the property that standard econometric tests detect ARCH/GARCH effects similar to those found in asset returns. We use evolutionary game theory to describe how agents endogenously switch among different forecasting strategies. The agents evaluate past forecast errors in the context of an optimizing model of asset pricing given heterogeneous agents. We show that the prospects for divergent expectations depend on the relative variances of fundamental and extraneous variables and on how aggressively agents are pursuing the optimal forecast. Divergent expectations are the driving force leading to the appearance of ARCH/GARCH in the data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 7, July 2007, Pages 2234-2262
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 7, July 2007, Pages 2234-2262
نویسندگان
William R. Parke, George A. Waters,