Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
From MaRDI portal
Publication:844571
DOI10.1016/j.jedc.2006.12.014zbMath1181.91220MaRDI QIDQ844571
Simone Alfarano, Friedrich Wagner, Thomas C. H. Lux
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/1779/1/WRAP_Alfarano_fwp05-02.pdf
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
91B69: Heterogeneous agent models
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