A new space-time model for volatility clustering in the financial market
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References listed on IDEAS
- Kaizoji, Taisei, 2000.
"Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 287(3), pages 493-506.
- Taisei Kaizoji, 2000. "Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity," Papers cond-mat/0010263, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-20 (All new papers)
- NEP-ETS-2010-02-20 (Econometric Time Series)
- NEP-RMG-2010-02-20 (Risk Management)
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