Long memory in financial markets: A heterogeneous agent model perspective
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.04.001
Abstract: During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model… read more here.
Keywords: market; memory financial; model; long memory ... See more keywords