Search Results - subject:"Microscopic simulation models"

The Non- and Semiparametric Analysis of MS Models : Some Applications

Melenberg, Bertrand; Li, Y.; Donkers, A.C.D. - Tilburg University, Center for Economic Research - 2006

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically.As examples we investigate the marginal single-period probability density function of stock...

Persistent link: https://www.econbiz.de/10011091406

The Econometric Analysis of Microscopic Simulation Models

Melenberg, Bertrand; Li, Y.; Donkers, A.C.D. - Tilburg University, Center for Economic Research - 2006

Microscopic simulation models are often evaluated based on visual inspection of the results.This paper presents formal …

Persistent link: https://www.econbiz.de/10011092103

Econometric analysis of microscopic simulation models

Li, Youwei; Donkers, Bas; Melenberg, Bertrand - In: Quantitative Finance 10 (2010) 10, pp. 1187-1201

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal …

Persistent link: https://www.econbiz.de/10008675012