Clustered volatility in multiagent dynamics
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References listed on IDEAS
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- E.R. Grannan & G.H. Swindle, 1994. "Contrarians and Volatility Clustering," Working Papers 94-03-010, Santa Fe Institute.
- Brock, W.A., 1991.
"Understainding Macroeconomic Time Series Using Complex Systems Theory,"
9111, Wisconsin Madison - Social Systems.
- Brock, William A., 1991. "Understanding macroeconomic time series using complex systems theory," Structural Change and Economic Dynamics, Elsevier, vol. 2(1), pages 119-141, June.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Brock, William A & LeBaron, Blake D, 1996.
"A Dynamic Structural Model for Stock Return Volatility and Trading Volume,"
The Review of Economics and Statistics,
MIT Press, vol. 78(1), pages 94-110, February.
- William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
- Arthur, W Brian, 1994. "Inductive Reasoning and Bounded Rationality," American Economic Review, American Economic Association, vol. 84(2), pages 406-11, May.
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