Time variation of second moments from a noise trader/infection model

Author: Lux T.

Source: Journal of Economic Dynamics and Control, Volume 22, Number 1, November 1997 , pp. 1-38(38)

Publisher: Elsevier

Keywords: Noise traders; Speculation; Market microstructure; Heteroscedasticity; [JEL classification codes] G12; [JEL classification codes] D84; [JEL classification codes] C61

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S0165-1889(97)00061-4

Affiliations: 1: Department of Economics, University of Bamberg, Feldkirchenstr. 21, D-96052 Bamberg, Germany

Publication date: 1997-11-01

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