Multi-agent-based VaR forecasting

DOI10.1016/J.JEDC.2021.104231MaRDI QIDQ2246798zbMATH OpenOpenAlexFDO

Authors Tobias Tubbenhauer, Christian Fieberg, Thorsten Poddig

Publication date 16 November 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104231

zbMATH Keywords

agent-based modelingMSM estimationVaR forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Recommendations

• Bayesian forecasting for financial risk management, pre and post the global financial crisis
• Value-at-risk under market shifts through highly flexible models
• Forecasting VaR models under different volatility processes and distributions of return innovations
• Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
• A detailed comparison of value at risk estimates

Cites work

• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• A comparison of economic agent-based model calibration methods
• A global optimization heuristic for estimating agent based models
• Agent-based simulation of a financial market
• Animal spirits and the business cycle: empirical evidence from moment matching
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian estimation of agent-based models
• Behavioral heterogeneity in stock prices
• Booms, busts and behavioural heterogeneity in stock prices
• Direct comparison of agent-based models of herding in financial markets
• Estimation of agent-based models using sequential Monte Carlo methods
• Estimation of agent-based models: The case of an asymmetric herding model
• Estimation of ergodic agent-based models by simulated minimum distance
• Estimation of financial agent-based models with simulated maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Herding behaviour and volatility clustering in financial markets
• Herding, a-synchronous updating and heterogeneity in memory in a CBS
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Identifying booms and busts in house prices under heterogeneous expectations
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• The Model Confidence Set
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Traders' long-run wealth in an artificial financial market
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(4)

• Approximate Bayesian inference for agent-based models in economics: a case study
• scientific article; zbMATH DE number 410130 (Why is no real title available?)
• Application of multi-agent games to the prediction of financial time series
• Distributed investment decisions and forecasting errors: an analysis based on a multi-agent simulation model

This page was built for publication: Multi-agent-based VaR forecasting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2246798)