A behavioral asset pricing model with a time-varying second moment

Pergamon-Elsevier Science Ltd
Publication Type:
Journal Article
Chaos, Solitons and Fractals, 2006, 29 (3), pp. 535 - 555
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We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stabil
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