Rational Speculators, Contrarians and Excess Volatility
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- Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
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More about this item
Keywords
asset pricing; heterogeneous agents; VAR approach;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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