Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Jaba Ghonghadze, Thomas Lux
| Year of publication: |
June 2016
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|---|---|
| Authors: | Ghonghadze, Jaba ; Lux, Thomas |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 37.2016, p. 1-19
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| Subject: | Sentiment dynamics | GMM estimation | Volatility forecasting | Volatilität | Volatility | Momentenmethode | Method of moments | Prognoseverfahren | Forecasting model | Theorie | Theory | Agentenbasierte Modellierung | Agent-based modeling | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011662890