This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.
Campisi, G. e S., Muzzioli. "Asymmetric semi-volatility spillover in a nonlinear model of interacting markets" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261314
Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
Muzzioli, S.
2022
Abstract
This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.
| File | Dimensione | Formato | |
|---|---|---|---|
|
0201.pdf
Open access
Tipologia:
Versione pubblicata dall'editore
Dimensione
542.15 kB
Formato
Adobe PDF
|
542.15 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris
