Počet záznamů: 1
Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood
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SYSNO ASEP 0478481 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood Tvůrce(i) Kukačka, Jiří (UTIA-B) RID, ORCID
Baruník, Jozef (UTIA-B) RID, ORCIDCelkový počet autorů 2 Zdroj.dok. Journal of Economic Dynamics & Control. - : Elsevier - ISSN 0165-1889
Roč. 85, č. 1 (2017), s. 21-45Poč.str. 38 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova heterogeneous agent model, ; simulated maximum likelihood ; switching Vědní obor RIV AH - Ekonomie Obor OECD Finance CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000418220900002 EID SCOPUS 85033485531 DOI 10.1016/j.jedc.2017.09.006 Anotace This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods. In combination with the model developed by Brock and Hommes (1998), which is one of the most widely analysed heterogeneous agent models in the literature, we extensively test the properties and behaviour of the estimation framework, as well as its ability to recover parameters consistently and e ciently using simulations. Key empirical findings indicate the statistical insignificance of the switching coe cient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies. In addition, we document a slight proportional dominance of fundamentalists over trend-following chartists in major world markets. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2018
Počet záznamů: 1