Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

Author:

Alfarano Simone,Lux Thomas,Wagner Friedrich

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Reference38 articles.

1. Aït-Sahalia, Y. (2002). Maximum-likelihood estimation of discretely-sampled diffusion: A closed-form approximation approach. Econometrica, 70, 223–262.

2. Alfarano, S. and Lux, T. (2003). A minimal noise traders model with realistic time series properties. http://www.bwl.uni-kiel.de/Ordnung+Wettbewerbspolitik/ewp/ewp.html, Working paper, University of Kiel.

3. Alfarano, S., Lux, T. and Wagner, F. (2004). Time-variation of higher moments in financial market with heterogeneous agents: An analytical approach. Work in progress, University of Kiel.

4. Aoki, M. (1996). New Approaches to Macroeconomic Modeling: Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects, Cambridge University Press, Cambridge.

5. Beja, A. and Goldman, M.B. (1980). On the dynamic behavior of prices in disequilibrium. Journal of Finance, 35, 235–248.

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