WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET

DOI10.1142/S1793005706000555zbMath1202.91306OpenAlexW1970761353MaRDI QIDQ3421876

Ryuichi Yamamoto

Publication date: 8 February 2007

Published in: New Mathematics and Natural Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s1793005706000555

zbMATH Keywords

learningasset pricingevolutionvolatility clustering

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Time series properties of an artificial stock market
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

This page was built for publication: WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET