Chiarella, Carl; He, Xue-Zhong; Huang, Weihong; Zheng, … - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 446-460
Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...
