Estimation of a structural stochastic volatility model of asset pricing
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Cites work
- scientific article; zbMATH DE number 3942888 (Why is no real title available?)
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- A global optimization heuristic for estimating agent based models
- Asset price dynamics, volatility, and prediction.
- Empirical dynamic asset pricing: model specification and econometric assessment
- Estimation of a structural stochastic volatility model of asset pricing
- On the specification of noise in two agent-based asset pricing models
- Representativeness of news and exchange rate dynamics
- Simulation estimation of time-series models
Cited in
(32)- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Heterogeneous expectations in the gold market: specification and estimation
- Structural estimation of stock market participation costs
- Estimation of agent-based models using sequential Monte Carlo methods
- Estimation of financial agent-based models with simulated maximum likelihood
- Identifying booms and busts in house prices under heterogeneous expectations
- On the specification of noise in two agent-based asset pricing models
- Asset price volatility in a nonconvex general equilibrium model
- Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
- Loss aversion in an agent-based asset pricing model
- Stochastic equity volatility and the capital structure of the firm
- Estimation of an agent-based model of investor sentiment formation in financial markets
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Direct comparison of agent-based models of herding in financial markets
- scientific article; zbMATH DE number 6178852 (Why is no real title available?)
- Estimation of a structural stochastic volatility model of asset pricing
- Behavioral heterogeneity in the option market
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Analysis of market weights under volatility-stabilized market models
- Estimation of agent-based models: The case of an asymmetric herding model
- On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
- Disposition effect and its outcome on endogenous price fluctuations
- Co-existence of trend and value in financial markets: estimating an extended Chiarella model
- Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis
- Robust mathematical formulation and probabilistic description of agent-based computational economic market models
- Modelling joint behaviour of asset prices using stochastic correlation
- Dynamics of a class of financial herding models with multi-groups
- Volatility and stock prices: Implications from a production model of asset pricing
- Estimating dynamic equilibrium models with stochastic volatility
- Empirical validation of stochastic models of interacting agents
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