Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑环环教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jebo.2012.02.008 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/5WOS source URL
其它资讯
摘要Generalized with the regime-dependent beliefs and regime-switching dynamics, the simple market-maker framework established by Day and Huang (1990) is capable to model all types of crises, that is, sudden crisis, disturbing crisis and smooth crisis, and to offer economic and dynamic justifications on how and why these crises appear. Moreover, the model simulations verify the salient qualitative and statistical properties commonly observed in the real financial data such as fat tails, volatility clustering, long range dependence, leverage effect and other stylized facts. Additionally, the model replicates the various chart patterns widely applied in the technical analysis. (C) 2012 Elsevier By. All rights reserved.
着者Huang WH, Zheng HH
期刊名称Journal of Economic Behavior and Organization
出版年份2012
月份http://aims.cuhk.edu.hk/converis/portal/Publication/5
日期1
卷号82
期次2-3
出版社ELSEVIER SCIENCE BV
页次44http://aims.cuhk.edu.hk/converis/portal/Publication/5 - 461
国际标準期刊号0167-2681
电子国际标準期刊号1879-17http://aims.cuhk.edu.hk/converis/portal/Publication/51
语言英式英语
关键词Financial crisis; Long-range dependence; Power-law distribution; Regime switching; Regime-dependent belief
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
