Bayesian estimation and likelihood-based comparison of agent-based volatility models
Year of publication: |
2021
|
---|---|
Authors: | Bertschinger, Nils ; Mozzhorin, Iurii |
Published in: |
Journal of economic interaction and coordination. - Berlin : Springer, ISSN 1860-7128, ZDB-ID 2237855-8. - Vol. 16.2021, 1, p. 173-210
|
Subject: | Agent-based models | Stochastic volatility models | Bayesian estimation | Hamiltonian Monte Carlo | Volatilität | Volatility | Agentenbasierte Modellierung | Agent-based modeling | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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