Article citationsMore>>

Figlewski, S. (2008) Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio. In: Bollerslev, T., Russell, J.R. and Watson, M., Eds., Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Oxford University Press, Oxford.

has been cited by the following article:

• TITLE: Information Processing and Financial Market Price Adjustments

  AUTHORS: Edwin H. Neave, William R. Scott

  KEYWORDS: Ultraorthodox Interpretations, Price System

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.7, September 26, 2019

  ABSTRACT: Using a model of heterogeneous investors’ responses to changing information, this paper studies the impact of learning on equilibrium price changes. The paper develops the comparative statics of single period equilibrium conditions. It characterizes generally the variety of circumstances encountered in the literature.