A futures pricing model with long-term and short-term traders
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DOI: 10.1016/j.iref.2019.05.010
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Cited by:
- Li, Jinfang, 2022. "The sentiment pricing dynamics with short-term and long-term learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.
- Shu‐Lien Chang & Hsiu‐Chuan Lee & Donald Lien, 2022. "The global latent factor and international index futures returns predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 514-538, April.
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Keywords
Behavioral finance; Heterogeneous sentiments; Dynamic futures pricing model; Market inefficiency;All these keywords.
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