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On the relationship of information processes and asset price processes
Lüders, Erik; Peisl, Bernhard - 2000 - This draft: February 11, 2000
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10011543916
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Pricing assets in an economy with two types of people
Farmer, Roger E. A. - 2016
Persistent link: https://www.econbiz.de/10011485635
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Heterogeneous beliefs and tests of present value models
Kasa, Kenneth; Walker, Todd B.; Whiteman, Charles H. - In: The review of economic studies 81 (2014) 3, pp. 1137-1163
Persistent link: https://www.econbiz.de/10010485954
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Heterogeneous beliefs in asset pricing : when investors' estimates of asset volatility disagree
Lin, Chien-chih; Lin, Feng-teng - In: Asia-Pacific journal of financial studies 39 (2010) 6, pp. 720-735
Persistent link: https://www.econbiz.de/10009231507
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Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - In: The journal of finance : the journal of the American … 64 (2009) 2, pp. 579-629
Persistent link: https://www.econbiz.de/10003828273
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Pricing assets in an economy with two types of people
Farmer, Roger E. A. - 2016
Persistent link: https://www.econbiz.de/10011494376
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Signal or noise? : uncertainty and learning about whether other traders are informed
Banerjee, Snehal; Green, Brett - In: Journal of financial economics 117 (2015) 2, pp. 398-423
Persistent link: https://www.econbiz.de/10011480269
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Bubbles and long-range dependence in asset prices volatilities
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720525
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Bubbles and long range dependence in asset prices volatilities
Kirman, Alan P.; Teysière, Gilles - In: Equilibrium, markets and dynamics : essays in honour of …, (pp. 307-323). 2002
Persistent link: https://www.econbiz.de/10001685789
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869