On the specification of noise in two agent-based asset pricing models (Q976529)
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scientific article; zbMATH DE number 5720450
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| English | On the specification of noise in two agent-based asset pricing models |
scientific article; zbMATH DE number 5720450 |
Statements
On the specification of noise in two agent-based asset pricing models (English)
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11 June 2010
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volatility clustering
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autocorrelations of returns
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structural stochastic volatility
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heterogeneous agents
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0.7744351625442505
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0.7587732672691345
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0.7570831179618835
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0.7556549906730652
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