Investor heterogeneity, asset pricing and volatility dynamics
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Publication:1042361
DOI10.1016/j.jedc.2008.12.002zbMath1176.91051OpenAlexW3121724286MaRDI QIDQ1042361
Publication date: 7 December 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2008.12.002
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Related Items (8)
How suboptimal are linear sharing rules? ⋮ Incomplete markets and derivative assets ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ Equilibrium open interest ⋮ Actuarial fairness and social welfare in mixed-cohort tontines ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders ⋮ HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY
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- Threshold heteroskedastic models
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