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  • Search: subject:"Procedurally consistent equilibrium"
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Year of publication
Subject
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Capital asset pricing model 2 Efficient market hypothesis 2 Excess covariance 2 Heterogeneous agents 2 Procedurally consistent equilibrium 2 CAPM 1 Correlation 1 Effizienzmarkthypothese 1 Korrelation 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Anufriev, Mikhail 2 Bottazzi, Giulio 2 Marsili, Matteo 2 Pin, Paolo 2
Published in...
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Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Excess covariance and dynamic instability in a multi-asset model
Anufriev, Mikhail; Bottazzi, Giulio; Marsili, Matteo; … - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1142-1161
The presence of excess covariance in financial price returns is an accepted empirical fact: the price dynamics of financial assets tend to be more correlated than their fundamentals would justify. We advance an explanation of this fact based on an intertemporal equilibrium multi-assets model of...
Persistent link: https://www.econbiz.de/10010599360
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Cover Image
Excess covariance and dynamic instability in a multi-asset model
Anufriev, Mikhail; Bottazzi, Giulio; Marsili, Matteo; … - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1142-1161
Persistent link: https://www.econbiz.de/10009634273
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