Structural stochastic volatility in asset pricing dynamics: estimation and model contest

DOI10.1016/j.jedc.2011.10.004zbMath1345.91009MaRDI QIDQ310961

Reiner Franke, Frank H. Westerhoff

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.10.004

zbMATH Keywords

method of simulated moments; discrete choice approach; herding; moment coverage ratio; transition probability approach

Mathematics Subject Classification ID

91B70: Stochastic models in economics

Related Items

An agent-based model of corporate bond trading, Herding behaviour and volatility clustering in financial markets, A financial market model with two discontinuities: Bifurcation structures in the chaotic domain, Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets, Perception of Fundamental Values and Financial Market Dynamics: Mathematical Insights from a 2D Piecewise Linear Map, Loss aversion in an agent-based asset pricing model, Come Together: The Role of Cognitively Biased Imitators in a Small Scale Agent-Based Financial Market, Estimation of heuristic switching in behavioral macroeconomic models, Financial power laws: empirical evidence, models, and mechanisms, Interactions between the real economy and the stock market: a simple agent-based approach, Stochastic model of financial markets reproducing scaling and memory in volatility return intervals, On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations, Booms, busts and behavioural heterogeneity in stock prices, Estimation of financial agent-based models with simulated maximum likelihood, Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach, Direct comparison of agent-based models of herding in financial markets, The stock-bond comovements and cross-market trading, Optimal monetary policy in a New Keynesian model with animal spirits and financial markets, Agent-based model calibration using machine learning surrogates, Interactions between stock, bond and housing markets, Estimation of agent-based models using sequential Monte Carlo methods, Some reflections on past and future of nonlinear dynamics in economics and finance, Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach, Herding, trend chasing and market volatility, Heterogeneous expectations in the gold market: specification and estimation, Speculative behavior and the dynamics of interacting stock markets, Identifying booms and busts in house prices under heterogeneous expectations, Cross-section instability in financial markets: impatience, extrapolation, and switching, Automated and distributed statistical analysis of economic agent-based models, Search for profits and business fluctuations: how does banks' behaviour explain cycles?, Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality, A comparison of economic agent-based model calibration methods, A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities, Multi-agent-based VaR forecasting, A macroscopic portfolio model: from rational agents to bounded rationality

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation of a structural stochastic volatility model of asset pricing
• The heterogeneous expectations hypothesis: Some evidence from the lab
• Simulation estimation of time-series models
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• A global optimization heuristic for estimating agent based models
• Behavioral heterogeneity in stock prices
• Estimation of agent-based models: The case of an asymmetric herding model
• Power-law behaviour, heterogeneity, and trend chasing
• Concepts and models of a quantitative sociology. The dynamics of interacting populations
• Expectational diversity in monetary economies
• Econometric analysis of microscopic simulation models
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• A Rational Route to Randomness
• Empirical properties of asset returns: stylized facts and statistical issues
• On blocking rules for the bootstrap with dependent data