Rational Interacting Agents and Volatility Clustering: A New Approach
AbstractHere, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2984.
Date of creation: 27 Apr 2007
Date of revision:
Volatility Clustering; Rationality; Local Interactions;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G1 - Financial Economics - - General Financial Markets
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