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Volumn 20, Issue 6-7, 1996, Pages 1073-1100

Heterogeneous beliefs, wealth accumulation, and asset price dynamics

Author keywords

ARCH; Asset pricing; Dynamics; Heterogeneity; Trade volume

Indexed keywords


EID: 0030161223     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(95)00890-x     Document Type: Article
Times cited : (15)

References (18)
  • 4
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    • ARCH modeling in finance: A selective review of the theory and empirical evidence, with suggestions for future research
    • Bollerslev, T., R.Y. Chou, and K.F. Kroner, 1992, ARCH modeling in finance: A selective review of the theory and empirical evidence, with suggestions for future research, Journal of Econometrics 52, 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 7
    • 0002182880 scopus 로고
    • Chartists, fundamentalists and the demand for dollars
    • Frankel, J.A. and K.A. Froot, 1988, Chartists, fundamentalists and the demand for dollars, Greek Economic Review, 49-100.
    • (1988) Greek Economic Review , pp. 49-100
    • Frankel, J.A.1    Froot, K.A.2
  • 9
    • 0003261523 scopus 로고
    • Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market
    • Frankel, J.A. and K.A. Froot, 1990b, Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market, NBER working paper no. 3470.
    • (1990) NBER Working Paper No. 3470
    • Frankel, J.A.1    Froot, K.A.2
  • 10
    • 0001129788 scopus 로고
    • Evolutionary dynamics with aggregate shocks
    • Fudenberg, D. and C. Harris, 1992, Evolutionary dynamics with aggregate shocks, Journal of Economic Theory 57, 420-441.
    • (1992) Journal of Economic Theory , vol.57 , pp. 420-441
    • Fudenberg, D.1    Harris, C.2
  • 13
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: The continuous-time case
    • Merton, R.C., 1969, Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics 51, 247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 14
    • 0011090049 scopus 로고
    • Optimal consumption and portfolio rules in a continuous-time model
    • Merton, R.C., 1971, Optimal consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.C.1
  • 15
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R.C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 18
    • 6244267235 scopus 로고
    • Modelling nonlinearities in business cycles using smooth transition autoregressive models
    • Department of Economics, University of California, San Diego, CA
    • Teräsvirta, T. and H.M. Anderson, 1991, Modelling nonlinearities in business cycles using smooth transition autoregressive models, Discussion paper no. 91-24 (Department of Economics, University of California, San Diego, CA).
    • (1991) Discussion Paper No. 91-24
    • Teräsvirta, T.1    Anderson, H.M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.