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Volatility via social flaring

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  • Rosser, J. Jr.
  • Ahmed, Ehsan
  • Hartmann, Georg C.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 50 (2003)
Issue (Month): 1 (January)
Pages: 77-87

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Handle: RePEc:eee:jeborg:v:50:y:2003:i:1:p:77-87

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References

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  1. repec:dgr:uvatin:2001013 is not listed on IDEAS
  2. Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers, Southern California - Department of Economics m8822, Southern California - Department of Economics.
  3. Sorger, Gerhard, 1998. "Imperfect foresight and chaos: an example of a self-fulfilling mistake," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 33(3-4), pages 363-383, January.
  4. Martin D.D. Evans, 1995. "Dividend Variability and Stock Market Swings," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 95-13, New York University, Leonard N. Stern School of Business, Department of Economics.
  5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  6. Cars H. Hommes & J. Barkley Rosser, 2001. "Consistent Expectations Equilibria and Complex Dynamics in Renewable Resource Markets," Tinbergen Institute Discussion Papers 01-013/1, Tinbergen Institute.
  7. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, American Economic Association, vol. 80(5), pages 999-1021, December.
  8. William A. Brock, 1993. "Pathways to randomness in the economy: Emergent nonlinearity and chaos in economics and finance," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 3-55.
  9. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1164, Cowles Foundation for Research in Economics, Yale University.
  10. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 33(2), pages 143-165, January.
  11. Steven N. Durlauf, 1991. "Nonergodic Economic Growth," NBER Working Papers 3719, National Bureau of Economic Research, Inc.
  12. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 379-95, June.
  13. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
  14. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance, EconWPA 9411001, EconWPA.
  15. Grandmont, Jean-Michel, 1985. "On Endogenous Competitive Business Cycles," Econometrica, Econometric Society, Econometric Society, vol. 53(5), pages 995-1045, September.
  16. Day, Richard H, 1982. "Irregular Growth Cycles," American Economic Review, American Economic Association, American Economic Association, vol. 72(3), pages 406-14, June.
  17. de Lima, Pedro J F, 1998. "Nonlinearities and Nonstationarities in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(2), pages 227-36, April.
  18. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers, Wisconsin Madison - Social Systems 9530r, Wisconsin Madison - Social Systems.
  19. Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
  20. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 32(1), pages 19-37, January.
  21. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, American Economic Association, vol. 76(3), pages 483-98, June.
  22. Hommes, Cars H., 1998. "On the consistency of backward-looking expectations: The case of the cobweb," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 33(3-4), pages 333-362, January.
  23. GRANDMONT, Jean-Michel, 1997. "Expectations formation and stability of large socioeconomic systems," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  25. Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers, Wisconsin Madison - Social Systems 9208, Wisconsin Madison - Social Systems.
  26. Hommes, Cars & Sorger, Gerhard, 1998. "Consistent Expectations Equilibria," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 2(03), pages 287-321, September.
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Cited by:
  1. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  2. Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(4), pages 743-764, April.
  3. Manzan, S. & Westerhoff, F., 2002. "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability," CeNDEF Working Papers 02-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Wieland, Cristian & Westerhoff, Frank H., 2005. "Exchange rate dynamics, central bank interventions and chaos control methods," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 58(1), pages 117-132, September.
  5. Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004, Society for Computational Economics 14, Society for Computational Economics.
  6. Frank H. Westerhoff, 2007. "On central bank interventions and transaction taxes," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 3(1), pages 11-14, January.

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