Author | Conference | Journal | Organization | Year | DOI
Look for results that meet for the following criteria:
Academic
Publications
Estimation of a Structural Stochastic Volatility Model of Asset Pricing

Estimation of a Structural Stochastic Volatility Model of Asset Pricing,10.1007/s10614-010-9238-7,Computational Economics,Reiner Franke,Frank Westerho

Edit
Estimation of a Structural Stochastic Volatility Model of Asset Pricing   (Citations: 2)
BibTex | RIS | RefWorks Download
The paper estimates an elementary agent-based financial market model recently put forward by the same authors. Invoking the two trader types of fundamentalists and chartists, it comprises four features: price determination by excess demand; a herding mechanism that gives rise to a macroscopic adjustment equation for the population shares of the two groups; a rush towards fundamentalism when the price misalignment becomes too large; and, finally, differently strong noise components in the demand per chartist and fundamentalist trader, which implies a structural stochastic volatility in the returns. The estimation is performed using the method of simulated moments. Combining it with bootstrap and Monte Carlo methods, it is found that the model cannot be rejected by the empirical daily returns from a stock market index and a foreign exchange rate. Measures of the matching of the single moments are satisfactory, too, while the behavioural parameters are well identified and are able to discriminate between the two markets.
Journal: Computational Economics - COMPUT ECON , vol. 38, no. 1, pp. 53-83, 2011
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
More »
Sort by:

Citations (2)

Share this on