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Estimation of a microfounded herding model on German survey expectations
16 references·1 citing·50 second hop
Estimation of a microfounded herding model on German survey expectations (2007)Estimation of a microfounded herding mode…The Markov-Switching Multifractal Model of Asset Returns (2008)The Markov-Switching Multifra…Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach (2007)Time variation of higher mome…The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2007)The Empirical Failure of the …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…A Multivariate Jump-Driven Financial Asset Model (2006)A Multivariate Jump-Driven Fi…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…How do UK‐based foreign exchange dealers think their market operates? 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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions641 cited
  • 1983Concepts and Models of a Quantitative Sociology427 cited
  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited
  • 2002Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds236 cited
  • 1985A Minsky Crisis232 cited
  • 2006A Multivariate Jump-Driven Financial Asset Model204 cited
  • 2007Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach181 cited
  • 2008The Markov-Switching Multifractal Model of Asset Returns176 cited
  • 2004How do UK‐based foreign exchange dealers think their market operates?174 cited
  • 1997Time variation of second moments from a noise trader/infection model148 cited

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  • 2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields138 cited
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    • 2010Estimation of a Structural Stochastic Volatility Model of Asset Pricing80 cited