Structural stochastic volatility in asset pricing dynamics: estimation and model contest
From MaRDI portal
Publication:310961
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
method of simulated moments; discrete choice approach; herding; moment coverage ratio; transition probability approach
91B70: Stochastic models in economics
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