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Commodity price cycles and heterogeneous speculators: a STAR–GARCH model
16 references·1 citing·41 second hop
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References

  • 1974Judgment under Uncertainty: Heuristics and Biases28,742 cited
  • 1984Judgment Under Uncertainty: Heuristics and Biases.5,656 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1997A Rational Route to Randomness1,724 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 1999Time series properties of an artificial stock market729 cited
  • 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS701 cited
  • 1999Commodity Prices and Growth in Africa636 cited
  • 1990Bulls, bears and market sheep619 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 2002The price dynamics of common trading strategies475 cited

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  • 1990On The Behavior of Commodity Prices421 cited
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    • 2017Estimation of financial agent-based models with simulated maximum likelihood64 cited