Long memory in financial markets: a heterogeneous agent model perspective

Zheng, Min, Liu, Ruipeng and Li, Youwei 2018, Long memory in financial markets: a heterogeneous agent model perspective, International review of financial analysis, vol. 58, pp. 38-51, doi: 10.1016/j.irfa.2018.04.001.

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Title Long memory in financial markets: a heterogeneous agent model perspective
Author(s) Zheng, Min
Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
Li, Youwei
Journal name International review of financial analysis
Volume number 58
Start page 38
End page 51
Total pages 14
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2018-07
ISSN 1057-5219
Keyword(s) heterogeneity
asymmetrical beliefs
bounded rationality
long memory
modified R/S test
Language eng
DOI 10.1016/j.irfa.2018.04.001
Field of Research 1502 Banking, Finance And Investment
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2018, Elsevier Inc.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30108499

Document type: Journal Article
Collection: Department of Finance
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