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ArticleCommodity price cycles and heterogeneous speculators: a STAR–GARCH model

Stefan Reitz2006

Article2006

Commodity price cycles and heterogeneous speculators: a STAR–GARCH model

Stefan Reitz · Frank H. Westerhoff

80 citations·0/0 files stored·Empirical Economics

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1974Judgment under Uncertainty: Heuristics and Biases 1984Judgment Under Uncertainty: Heuristics and Biases.1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1997A Rational Route to Randomness 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model 1992On the Behaviour of Commodity Prices 1992The use of technical analysis in the foreign exchange market 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models

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Year2006

Typearticle

Published2006-09-25

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations80

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1007/s00181-006-0100-7

openalex_workW2013537734

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