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Journal of Economic Theory
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Research Papers in Economics
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Preprint . 2013
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Information and volatility

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2014 English Publisher:Elsevier BVJournal:Journal of Economic Theory, volume 158, pages 427-465 (issn: 0022-0531, Copyright policy )Funded by:NSF | Collaborative Research: R..., NSF | ICES: Small: Collaborativ...
Authors: Dirk Bergemann; Tibor Heumann; Stephen Morris;

doi: 10.1016/j.jet.2014.12.002 , 10.2139/ssrn.2449264

Information and volatility

Abstract

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Keywords

Economics of information, Incomplete information, Idiosyncratic shocks, Aggregate shocks, Volatility, Confounding information, Moment restrictions, Linear best responses, Quadratic payoffs, Bayes correlated equilibrium, Incomplete information, Bayes correlated equilibrium, Volatility, Moments restrictions, Linear best responses, Quadratic payoffs, volatility, idiosyncratic shocks, aggregate shocks, confounding information, Bayes correlated equilibrium, moment restrictions, jel: jel:C72, jel: jel:C73, jel: jel:D83, jel: jel:D43

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 44
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
44
Top 10%
Top 10%
Top 10%
hybrid