Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
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More about this item
KeywordsVolatility clustering; Autocorrelations of returns; Fundamentalists and trendfollowers;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
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