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Equilibrium analysis of volatility clustering

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  • Vanden, Joel M.
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 12 (2005)
    Issue (Month): 3 (June)
    Pages: 374-417

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    Handle: RePEc:eee:empfin:v:12:y:2005:i:3:p:374-417

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    Cited by:
    1. repec:hal:cesptp:halshs-00497427 is not listed on IDEAS
    2. Alexander Subbotin & Thierry Chauveau, 2010. "Price Dynamics in a Market with Heterogeneous Investment Horizons and Boundedly Rational Traders," Documents de travail du Centre d'Economie de la Sorbonne 10048, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Chauveau, Th. & Subbotin, A., 2013. "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1040-1065.
    4. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.

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