Social interaction, volatility clustering, and momentum
Year of publication: |
2022
|
---|---|
Authors: | He, Xue-zhong ; Li, Kai ; Santi, Caterina ; Shi, Lei |
Published in: |
Journal of economic behavior & organization : JEBO. - Amsterdam [u.a.] : Elsevier, ISSN 0167-2681, ZDB-ID 864321-0. - Vol. 203.2022, p. 125-149
|
Subject: | Excess volatility | Mean choice | Social interaction | Time-series momentum | Volatility clustering | Volatilität | Volatility | Soziale Beziehungen | Social relations | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Theorie | Theory | Momentenmethode | Method of moments |
-
Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas, (2014)
-
Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J., (2023)
-
Quantifying volatility clustering in financial time series
Tseng, Jie-jun, (2012)
- More ...
-
Differences in opinion and risk premium
He, Xue-zhong, (2010)
-
Heterogeneity, bounded rationality and market dysfunctionality
He, Xue-zhong, (2008)
-
Portfolio analysis and zero-beta CAPM with heterogeneous beliefs
He, Xue-zhong, (2009)
- More ...