The non- and semiparametric analysis of MS models : some applications

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The non- and semiparametric analysis of MS models : some applications

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Li, Youwei
Donkers, Bas
Melenberg, Bertrand (Tilburg University, Center for Economic Research)

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Abstract

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically. As examples we investigate the marginal single-period probability density function of stock returns, and the corresponding spectral density function and memory parameters. We illustrate the methodology by the MS models developed by Levy, Levy, Solomon (2000) and the market fraction model developed by He and Li (2005a, b), and confront the resulting return data with the S&P 500 stock index data.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 95.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200695

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-10-28 (All new papers)
NEP-CMP-2006-10-28 (Computational Economics)
NEP-ECM-2006-10-28 (Econometrics)
NEP-FIN-2006-10-28 (Finance)

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