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R. Pruna

1 paper hereh-index 427 citations7 works total

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author position
  • first author1

Across the 1 of 1 paper where every author was matched, so the position is known.

fields
  • econ.GN1

identity via Semantic Scholar / OpenAlex

most citedA new structural stochastic volatility model of asset pricing and its stylized facts

1 citations · 1 across the 1 of their papers we have counts for

collaborators

1 paper

econ.GN2016★ 1 cited

A new structural stochastic volatility model of asset pricing and its stylized facts

Radu T. Pruna, Maria Polukarov, Nicholas R. Jennings

Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined ba…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.