A Nonlinear Structural Model for Volatility Clustering

Preprint

1 January 2000

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.241349

Abstract

A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatilit

Keywords

SSRN
A NONLINEAR STRUCTURAL MODEL FOR VOLATILITY CLUSTERING
ANDREA GAUNERSDORFER
CARS H. HOMMES

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