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Contagion and Return Predictability in Asset Markets : An Experiment with Two Lucas Trees

Author

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  • Noussair, C.N.

    (Tilburg University, Center For Economic Research)

  • Popescu, Andreea Victoria

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Noussair, C.N. & Popescu, Andreea Victoria, 2020. "Contagion and Return Predictability in Asset Markets : An Experiment with Two Lucas Trees," Discussion Paper 2020-014, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:f29687f7-d02c-4fad-98c2-0a013efbfbd7
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    Keywords

    Contagion; asset pricing; two trees model; experimental pricing; time series momentum; return predictability;
    All these keywords.

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