Rational Interacting Agents and Volatility Clustering: A New Approach

Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models.

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Year of publication:	2007-04-27
Authors:	Siddiqi, Hammad

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Siddiqi, Hammad (2007): Rational Interacting Agents and Volatility Clustering: A New Approach.
Classification:	G12 - Asset Pricing ; G1 - General Financial Markets
Source:	BASE

Persistent link: https://www.econbiz.de/10015226306