Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jedc.2011.10.004
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Franke, Reiner & Westerhoff, Frank, 2011. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," BERG Working Paper Series 78, Bamberg University, Bamberg Economic Research Group.
References listed on IDEAS
- William A. Brock & Cars H. Hommes, 1997.
"A Rational Route to Randomness,"
Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
- Brock, W.A. & Hommes, C.H., 1995. "Rational Routes to Randomness," Working papers 9506, Wisconsin Madison - Social Systems.
- Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
- Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007.
"An objective function for simulation based inference on exchange rate data,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 125-145, December.
- Manfred Gilli & Peter Winker & Vahidin Jeleskovic, 2006. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Computing in Economics and Finance 2006 147, Society for Computational Economics.
- Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series 07-01, Swiss Finance Institute.
- Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-389, July.
- Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
- He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
- Manzan, Sebastiano & Westerhoff, Frank H., 2007.
"Heterogeneous expectations, exchange rate dynamics and predictability,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
- Manzan, S. & Westerhoff, F., 2002. "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability," CeNDEF Working Papers 02-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bernd Hayo & Matthias Wrede, 2004.
"Fiscal equalisation: Principles and an application to the European Union,"
Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 23(3), pages 333-348, December.
- Hayo, Bernd & Wrede, Matthias, 2001. "Fiscal equalisation: Principles and an application to the European Union," BERG Working Paper Series 38, Bamberg University, Bamberg Economic Research Group.
- Bernd Hayo & Matthias Wrede, 2002. "Fiscal Equalisation: Principles and an Application to the European Union," Public Economics 0201001, University Library of Munich, Germany.
- Brock, William A. & de Fontnouvelle, Patrick, 2000.
"Expectational diversity in monetary economies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 725-759, June.
- Brock, W.A. & de Fontnouvelle, P., 1996. "Expectational Diversity in Monetary Economics," Working papers 9624, Wisconsin Madison - Social Systems.
- William A. Brock & Patrick de Fontnouvelle, 1996. "Expectational Diversity in Monetary Economies," Working Papers 96-11-084, Santa Fe Institute.
- Pfeffer, Annamaria, 2010. "Staatliche Zinssubvention und Auslandsverschuldung: Eine Mittelwert-Varianz-Analyse am Beispiel Ungarn," BERG Working Paper Series 72, Bamberg University, Bamberg Economic Research Group.
- Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
- Wrede, Matthias, 1999. "A note on reliefs for traveling expenses to work," BERG Working Paper Series 30, Bamberg University, Bamberg Economic Research Group.
- Witte, Björn-Christopher, 2009. "Temporal information gaps and market efficiency: A dynamic behavioral analysis," BERG Working Paper Series 64, Bamberg University, Bamberg Economic Research Group.
- Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012.
"Estimating behavioural heterogeneity under regime switching,"
Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
- Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
- Youwei Li & Bas Donkers & Bertrand Melenberg, 2010.
"Econometric analysis of microscopic simulation models,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1187-1201.
- Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics.
- Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Other publications TiSEM 1beb5afd-1771-4e7b-a3ea-1, Tilburg University, School of Economics and Management.
- Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper 2006-99, Tilburg University, Center for Economic Research.
- Roberto Dieci & Frank Westerhoff, 2012.
"A simple model of a speculative housing market,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
- Dieci, Roberto & Westerhoff, Frank, 2009. "A simple model of a speculative housing market," BERG Working Paper Series 62, Bamberg University, Bamberg Economic Research Group.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Farmer, J. Doyne & Joshi, Shareen, 2002.
"The price dynamics of common trading strategies,"
Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
- J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
- J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
- Carsten Eckel, 2009.
"International Trade and Retailing,"
CESifo Working Paper Series
2597, CESifo.
- Eckel, Carsten, 2009. "International trade and retailing," BERG Working Paper Series 63, Bamberg University, Bamberg Economic Research Group.
- Szüle, Borbála, 2003. "Inside financial conglomerates: Effects in the Hungarian pension fund markets," BERG Working Paper Series 42, Bamberg University, Bamberg Economic Research Group.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.),Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
- Alfarano Simone & Milakovic Mishael, 2012.
"Identification of Interaction Effects in Survey Expectations: A Cautionary Note,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
- Alfarano, Simone & Milaković, Mishael, 2010. "Identification of interaction effects in survey expectations: A cautionary note," BERG Working Paper Series 75, Bamberg University, Bamberg Economic Research Group.
- Alfarano, Simone & Milakovic, Mishael, 2010. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," MPRA Paper 26002, University Library of Munich, Germany.
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007.
"Behavioral heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Kurt A. Hafner, 2015.
"Tax Competition and Economic Integration,"
Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 45-61, February.
- Hafner, Kurt A., 2005. "Agglomeration, Migration and Tax Competition," BERG Working Paper Series 52, Bamberg University, Bamberg Economic Research Group.
- Kurt A. Hafner, 2006. "Agglomeration, Migration and Tax Competition," DEGIT Conference Papers c011_027, DEGIT, Dynamics, Economic Growth, and International Trade.
- Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
- Amilon, Henrik, 2008.
"Estimation of an adaptive stock market model with heterogeneous agents,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- Bernd Hayo & Matthias Wrede, 2003. "Fiscal Equalisation: Principles and an Application to the European Union," CESifo Working Paper Series 845, CESifo.
- Kächelein, Holger, 2004. "Capital Tax Competition and Partial Cooperation : Welfare Enhancing or not?," BERG Working Paper Series 51, Bamberg University, Bamberg Economic Research Group.
- Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
- Jenei, György, 2009. "A post-accession crisis? Political developments and public sector modernization in Hungary," BERG Working Paper Series 67, Bamberg University, Bamberg Economic Research Group.
- Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
- Franke, Reiner, 2009. "Applying the method of simulated moments to estimate a small agent-based asset pricing model," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 804-815, December.
- Malaj, Arben & Mema, Fatmir, 2003. "Strategic privatisation: Its achievements and challenges," BERG Working Paper Series 41, Bamberg University, Bamberg Economic Research Group.
- Bjørn Eraker, 2004. "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1367-1404, June.
- Gaber, Stevan, 2010. "Economic implications from deficit finance," BERG Working Paper Series 69, Bamberg University, Bamberg Economic Research Group.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Treier, Volker, 1999. "Unemployment in reforming countries: Causes, fiscal impacts and the success of transformation," BERG Working Paper Series 29, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.),Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Nusser, Michael, 1999. "The implications of wage structure rigidity on human capital accumulation, economic growth and unemployment: A Schumpeterian approach to endogenous growth theory," BERG Working Paper Series 28, Bamberg University, Bamberg Economic Research Group.
- Kola, Tonin & Liko, Elida, 2008. "An empirical assessment of alternative exchange rate regimes in medium term in Albania," BERG Working Paper Series 58, Bamberg University, Bamberg Economic Research Group.
- Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Ching-Sheng Mao, 1990. "Hypothesis testing and finite sample properties of generalized method of moments estimators: a Monte Carlo study," Working Paper 90-12, Federal Reserve Bank of Richmond.
More about this item
Keywords
Method of simulated moments; Moment coverage ratio; Herding; Discrete choice approach; Transition probability approach;JEL classification:
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:36:y:2012:i:8:p:1193-1211. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/jedc .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.