28 citations · 95 across the 25 of their papers we have counts for
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q-fin.ST2012
Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini, Giacomo Bormetti
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed thi…
q-fin.GN2012★ 1 cited
Value matters: Predictability of Stock Index Returns
Natascia Angelini, Giacomo Bormetti, Stefano Marmi +1
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shille…