Estimation of agent-based models using sequential Monte Carlo methods
Year of publication: |
2017
|
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Authors: | Lux, Thomas |
Publisher: |
Kiel : Kiel University, Department of Economics |
Subject: | agent-based models | estimation | Markov chain Monte Carlo | particle filter |
Series: | Economics Working Paper ; 2017-07 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1005023530 [GVK] hdl:10419/171330 [Handle] RePEc:zbw:cauewp:201707 [RePEc] |
Classification: | G12 - Asset Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c58 |
Source: |
-
Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas, (2017)
-
Bos, Charles S., (2004)
-
Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B., (2015)
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Long-term stochastic dependence in financial prices: evidence from the German stock market
Lux, Thomas, (1996)
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The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel, (2015)
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Ghonghadze, Jaba, (2015)
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