What distinguishes individual stocks from the index?
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References listed on IDEAS
- Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012.
"A statistical equilibrium model of competitive firms,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(1), pages 136-149.
- Irle, Albrecht & Milaković, Mishael & Alfarano, Simone & Kauschke, Jonas, 2008. "A Statistical Equilibrium Model of Competitive Firms," Economics Working Papers 2008-10, Christian-Albrechts-University of Kiel, Department of Economics.
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- Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW).
- Friedrich Wagner, 2011. "Market clearing by maximum entropy in agent models of stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 121-138, November.
- Matthias Raddant & Friedrich Wagner, 2016. "Multivariate Garch with dynamic beta," Papers 1609.07051, arXiv.org, revised Feb 2018.
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