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Estimation of an adaptive stock market model with heterogeneous agents · Study

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ArticleEstimation of an adaptive stock market model with heterogeneous agents

Henrik Amilon2007

OA

Articlegreen2007

Estimation of an adaptive stock market model with heterogeneous agents

92 citations·0/0 files stored·Journal of Empirical Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Economic theories and models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 92 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1990Noise Trader Risk in Financial Markets 1961Rational Expectations and the Theory of Price Movements 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

Cited by

2009Emergence of long memory in stock volatility from a modified Mike-Farmer model

Details

Year2007

Typearticle

Published2007-05-25

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations92

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/j.jempfin.2006.06.007

openalex_workW2239658657

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