Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1419
Título: On the concept of endogenous volatility
Autor: Gomes, Orlando Manuel da Costa
Palavras-chave: Endogenous volatility
Volatility clustering
Nonlinear dynamics
Chartists and fundamentalists
Periodicity and chaos
Business cycles
Data: Jul-2011
Resumo: Most financial and economic time-series display a strong volatility around their trends. The difficulty in explaining this volatility has led economists to interpret it as exogenous, i.e., as the result of forces that lie outside the scope of the assumed economic relations. Consequently, it becomes hard or impossible to formulate short-run forecasts on asset prices or on values of macroeconomic variables. However, many random looking economic and financial series may, in fact, be subject to deterministic irregular behavior, which can be measured and modelled. We address the notion of endogenous volatility and exemplify the concept with a simple business-cycles model.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1419
Aparece nas colecções:ISCAL - Comunicações

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