کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7242758 | 1471635 | 2016 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility clustering: A nonlinear theoretical approach
ترجمه فارسی عنوان
خوشه نوسان: یک رویکرد نظری غیرخطی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of two locally stable attractors proposed by Gaunersdorfer et al. (2008). By considering a simple asset pricing model with two types of boundedly rational traders, fundamentalists and trend followers, and noise traders, we provide theoretical conditions on the coexistence of a locally stable steady state and a locally stable invariant circle of the underlying nonlinear deterministic financial market model and show numerically that the interaction of the coexistence of the deterministic dynamics and noise processes can endogenously generate volatility clustering and long range dependence in volatility observed in financial markets. Economically, volatility clustering occurs when neither the fundamental nor trend following traders dominate the market and when traders switch more often between the two strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 130, October 2016, Pages 274-297
Journal: Journal of Economic Behavior & Organization - Volume 130, October 2016, Pages 274-297
نویسندگان
Xue-Zhong He, Kai Li, Chuncheng Wang,