On the public citation graph

A Nonlinear Structural Model for Volatility Clustering

https://doi.org/10.1007/3-540-34625-2_9
0 signed · 37 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1137907openalex-extracted
Complex Evolutionary Systems in Behavioral Finance
inferred← citeshttps://doi.org/10.2139/ssrn.1726755openalex-extracted
Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-Based Models
inferred← citeshttps://doi.org/10.2139/ssrn.2363855openalex-extracted
Are the 'Turn of the Month' Days Profitable Even During Severe Crisis? Evidence from the Greek Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.2624975openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2916490openalex-extracted
Social Interaction, Stochastic Volatility, and Momentum
inferred← citeshttps://doi.org/10.2139/ssrn.3166078openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.804124openalex-extracted
Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
inferred← citeshttps://doi.org/10.1007/3-540-27296-8_18openalex-snapshot
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
inferred← citeshttps://doi.org/10.1007/3-540-37249-0_1openalex-snapshot
Heterogeneous Beliefs Under Different Market Architectures
inferred← citeshttps://doi.org/10.1007/978-3-540-34625-8_13openalex-snapshot
Long Memory and Hysteresis
inferred← citeshttps://doi.org/10.1007/978-3-540-34625-8_5openalex-snapshot
Adaptive Detection of Multiple Change-Points in Asset Price Volatility
inferred← citeshttps://doi.org/10.1007/978-4-431-55236-9_12openalex-snapshot
A Formal Test of Behavioral Heterogeneity: The Case of a Structural Stochastic Volatility Model
inferred← citeshttps://doi.org/10.1007/s00191-011-0233-5openalex-snapshot
Time-varying beta: a boundedly rational equilibrium approach
inferred← citeshttps://doi.org/10.1007/s10614-016-9643-7openalex-snapshot
Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data
inferred← citeshttps://doi.org/10.1007/s10614-019-09917-8openalex-snapshot
Microconsistency in Simple Empirical Agent-Based Financial Models
inferred← citeshttps://doi.org/10.1007/s11403-010-0075-5openalex-snapshot
Volatility clustering and herding agents: does it matter what they observe?
inferred← citeshttps://doi.org/10.1016/j.jebo.2010.02.008openalex-snapshot
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders
inferred← citeshttps://doi.org/10.1016/j.jebo.2022.05.029openalex-snapshot
Social interaction, volatility clustering, and momentum
inferred← citeshttps://doi.org/10.1016/j.jedc.2006.05.013openalex-snapshot
An evolutionary game theory explanation of ARCH effects
inferred← citeshttps://doi.org/10.1016/j.jedc.2006.11.008openalex-snapshot
Power-law behaviour, heterogeneity, and trend chasing
inferred← citeshttps://doi.org/10.1016/j.jedc.2014.05.009openalex-snapshot
Speculative behavior and the dynamics of interacting stock markets
inferred← citeshttps://doi.org/10.1016/j.jedc.2022.104585openalex-snapshot
Estimation of Heuristic Switching in Behavioral Macroeconomic Models
inferred← citeshttps://doi.org/10.1016/j.jmateco.2004.02.002openalex-snapshot
Evolutionary dynamics in markets with many trader types
inferred← citeshttps://doi.org/10.1016/j.jmateco.2004.02.003openalex-snapshot
Genetic learning as an explanation of stylized facts of foreign exchange markets
inferred← citeshttps://doi.org/10.1016/j.rfe.2012.06.001openalex-snapshot
Volume, volatility and information linkages in the stock and option markets
inferred← citeshttps://doi.org/10.1016/j.rinam.2024.100489openalex-snapshot
An endogenous evolution mechanism model of asset prices based on time-varying risk aversion coefficient
inferred← citeshttps://doi.org/10.1017/s1365100506060299openalex-snapshot
A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
inferred← citeshttps://doi.org/10.1073/pnas.082080399openalex-snapshot
Modeling the stylized facts in finance through simple nonlinear adaptive systems
inferred← citeshttps://doi.org/10.1080/14697680802039865openalex-snapshot
Non-parametric estimation of a multiscale CHARN model using SVR
inferred← citeshttps://doi.org/10.1088/0034-4885/70/3/r03openalex-snapshot
Agent-based models of financial markets
inferred← citeshttps://doi.org/10.1103/physrevlett.89.158701openalex-snapshot
Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling
inferred← citeshttps://doi.org/10.1109/cifer.2003.1196262openalex-snapshot
Genetic learning as an explanation of stylized facts of foreign exchange markets
inferred← citeshttps://doi.org/10.1109/icmlc.2005.1527546openalex-snapshot
A wavelet-domain Markov model for volatility clustering
inferred← citeshttps://doi.org/10.1140/epjst/e2016-60123-4openalex-snapshot
Financial price dynamics and agent-based models as inspired by Benoit Mandelbrot
inferred← citeshttps://doi.org/10.1142/9789812702067_0102openalex-snapshot
NONLOCAL ONSET OF INSTABILITY IN AN ASSET PRICING MODEL WITH HETEROGENEOUS AGENTS
inferred← citeshttps://doi.org/10.2202/1558-3708.1083openalex-snapshot
Microeconomic Models for Long Memory in the Volatility of Financial Time Series
inferred← citeshttps://doi.org/10.5018/economics-ejournal.ja.2010-7openalex-snapshot
Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-based Models
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.