Estimation of a structural stochastic volatility model of asset pricing

DOI10.1007/S10614-010-9238-7zbMATH Open1213.91166OpenAlexW1982696788MaRDI QIDQ540665FDOQ540665

Reiner Franke, Frank Westerhoff

Publication date: 3 June 2011

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9238-7

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zbMATH Keywords

stochastic volatilitymethod of simulated momentsautocorrelation patternsdaily returnsfundamentalist and technical trading

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05) Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites Work

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• Empirical dynamic asset pricing: model specification and econometric assessment
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• Estimation of a structural stochastic volatility model of asset pricing
• Simulation estimation of time-series models
• A global optimization heuristic for estimating agent based models
• Representativeness of news and exchange rate dynamics
• Asset price dynamics, volatility, and prediction.
• On the specification of noise in two agent-based asset pricing models

Cited In (26)

• 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
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Title not available (Why is that?)
• Direct comparison of agent-based models of herding in financial markets
• 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
• Estimation of a structural stochastic volatility model of asset pricing
• Analysis of market weights under volatility-stabilized market models
• On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
• 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
• Volatility and stock prices: Implications from a production model of asset pricing
• Estimating dynamic equilibrium models with stochastic volatility

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