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

Author: Lux T.¹

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: 10.1016/S0165-1889(97)00061-4

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

Links for this article

http://www.ingentaconnect.com/els/01651889/1997/00000022/00000001/art00061
http://openurl.ingenta.com/content?genre=article&issn=0165-1889&volume=22&issue=1&spage=1&epage=38
http://dx.doi.org/10.1016/S0165-1889(97)00061-4