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)

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Cites work

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• Traders' long-run wealth in an artificial financial market
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(4)

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

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