Econometric analysis of microscopic simulation models
From MaRDI portal
Publication:3064019
DOI10.1080/14697680903460176zbMath1201.91231MaRDI QIDQ3064019
Bertrand Melenberg, Bas Donkers, Youwei Li
Publication date: 20 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://repec.org/sce2004/up.24328.1077884185.pdf
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
Related Items
Cites Work
- Representativeness of news and exchange rate dynamics
- The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
- Minimal agent based model for financial markets. I
- Minimal agent based model for financial markets. II
- Power-law behaviour, heterogeneity, and trend chasing
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long memory relationships and the aggregation of dynamic models
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Generalized autoregressive conditional heteroscedasticity
- Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case
- Agent-based computational finance: Suggested readings and early research
- Heterogeneity, convergence, and autocorrelations
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
- A Rational Route to Randomness
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
- The Dynamic Interaction of Speculation and Diversification
