Bayesian estimation and likelihood-based comparison of agent-based volatility models
Year of publication: |
2020
|
---|---|
Authors: | Bertschinger, Nils ; Mozzhorin, Iurii |
Published in: |
Journal of Economic Interaction and Coordination. - Berlin, Heidelberg : Springer, ISSN 1860-7128. - Vol. 16.2020, 1, p. 173-210
|
Publisher: |
Berlin, Heidelberg : Springer |
Subject: | Agent-based models | Stochastic volatility models | Bayesian estimation | Hamiltonian Monte Carlo |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s11403-020-00289-z [DOI] |
Classification: | C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing ; c58 ; G12 - Asset Pricing |
Source: |
-
Bayesian estimation and likelihood-based comparison of agent-based volatility models
Bertschinger, Nils, (2021)
-
A direct and full-information estimation of the distribution of skill in the mutual fund industry
Andrikogiannopoulou, Angie, (2014)
-
Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B., (2015)
- More ...
-
Bayesian estimation and likelihood-based comparison of agent-based volatility models
Bertschinger, Nils, (2021)
-
Early warning signs of financial market turmoils
Bertschinger, Nils, (2020)
-
COMPARISON BETWEEN DIFFERENT METHODS OF LEVEL IDENTIFICATION
PFANTE, OLIVER, (2014)
- More ...