Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
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DOI: 10.1016/j.jedc.2013.01.011
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Citations
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Cited by:
- Deniz Erdemlioglu & Nikola Gradojevic, 2021.
"Heterogeneous investment horizons, risk regimes, and realized jumps,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
- Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
- Anindya Chakrabarty & Anupam De & Gautam Bandyopadhyay, 2016. "Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS," International Journal of Business Excellence, Inderscience Enterprises Ltd, vol. 9(1), pages 18-47.
- Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages," Finance Research Letters, Elsevier, vol. 33(C).
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More about this item
Keywords
Asset pricing; Heterogeneous agents; Multiple investment scales; Volatility clustering;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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