| bibtype |
J -
Journal Article
|
| ARLID |
0478481 |
| utime |
20240103214544.4 |
| mtime |
20170925235959.9 |
| SCOPUS |
85033485531 |
| WOS |
000418220900002 |
| DOI |
10.1016/j.jedc.2017.09.006 |
| title
(primary) (eng) |
Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood |
| specification |
| page_count |
38 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251195 |
| ISSN |
0165-1889 |
| title
|
Journal of Economic Dynamics & Control |
| volume_id |
85 |
| volume |
1 (2017) |
| page_num |
21-45 |
| publisher |
|
|
| keyword |
heterogeneous agent model, |
| keyword |
simulated maximum likelihood |
| keyword |
switching |
| author
(primary) |
| ARLID |
cav_un_auth*0293468 |
| name1 |
Kukačka |
| name2 |
Jiří |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2018 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122142653.8 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0275483 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbC86 |
1 Article Economics |
| mrcbC86 |
1 Article Economics |
| mrcbC86 |
1 Article Economics |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.133 |
| mrcbT16-s |
1.795 |
| mrcbT16-B |
66.667 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1* |
| arlyear |
2017 |
| mrcbTft |
\nSoubory v repozitáři: kukacka-0478481.pdf |
| mrcbU14 |
85033485531 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000418220900002 WOS |
| mrcbU63 |
cav_un_epca*0251195 Journal of Economic Dynamics & Control 0165-1889 1879-1743 Roč. 85 č. 1 2017 21 45 Elsevier |
|