Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations
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More about this item
KeywordsAgent-based model; Dynamic risk aversion; Asset price fluctuation; Volatility clustering; Dynamics of financial markets; Financial time series; D40; D58; G10; G12;
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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