Interaction Models for Common Long – Range Dependence in Asset Price Volatilities

  title={Interaction Models for Common Long – Range Dependence in Asset Price Volatilities},
  author={Gilles Teyssi{\`e}re},
We consider a class of microeconomic models with interacting agents which replicate the main properties of asset prices time series: non-linearities in levels and common degree of long-memory in the volatilities and co-volatilities of multivariate time series. For these models, long-range dependence in asset price volatility is the consequence of swings in opinions and herding behavior of market participants, which generate switches in the heteroskedastic structure of asset prices. Thus, the… CONTINUE READING


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