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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2001
Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according...
Persistent link: https://www.econbiz.de/10011313923
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554477
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Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
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An analytically tractable interest rate model with humped volatility
Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996
Persistent link: https://www.econbiz.de/10000939515
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000981248
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Structural stability tests with unknown breakpoint for the efficient method of moments with application to stochastic volatility models
Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000985438
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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000986291
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
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Exchange rates, interest groups and commodity price (dis)-agreements
Kofman, Paul; Viaene, Jean-Marie - 1997
Persistent link: https://www.econbiz.de/10000976092