Search Results - subject:"Heterogeneous Agent Models"

Morelli, Juan M.; Ottonello, Pablo; Perez, Diego J. - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 2, pp. 749-798

Persistent link: https://www.econbiz.de/10013190099

Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time

Emoto, Masakazu; Sunakawa, Takeki - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886926

Microconsistency in simple empirical agent-based financial models

LeBaron, Blake Dean - In: Computational economics 58 (2021) 1, pp. 83-101

Persistent link: https://www.econbiz.de/10012587794

Heterogeneity and aggregate fluctuations

Chang, Minsu; Chen, Xiaohong; Schorfheide, Frank - 2021

Persistent link: https://www.econbiz.de/10012515882

Identification and Estimation of Heterogeneous Agent Models: A Likelihood Approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a …

Persistent link: https://www.econbiz.de/10011777582

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

Verschoor, Willem F.C.; ter Ellen, Saskia - 2017

traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) heterogeneous agent models … that have their roots in the agent-based literature. Heterogeneous agent models per- form well in describing, explaining … commodities. Our survey suggests that heterogeneous agent models have the ability to produce important stylised facts observed in …

Persistent link: https://www.econbiz.de/10012143921

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10011906282

Identification and estimation of heterogeneous agent models : a likelihood approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a …

Persistent link: https://www.econbiz.de/10011745280

Banking industry dynamics and size-dependent capital regulation

Goel, Tirupam - 2016

Persistent link: https://www.econbiz.de/10011609978

Absence of speculation in the European sovereign debt markets

Frijns, Bart; Zwinkels, Remco C. J. - In: Journal of economic behavior & organization : JEBO 169 (2020), pp. 245-265

Persistent link: https://www.econbiz.de/10012271632