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.

Asymmetric semi-volatility spillover in a nonlinear model of interacting markets

Campisi, Giovanni
;
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 in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11566/305039
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact