Multi-agent-based VaR forecasting
From MaRDI portal
Publication:2246798
DOI10.1016/J.JEDC.2021.104231zbMath1475.91405OpenAlexW3197240972MaRDI QIDQ2246798
Tobias Tubbenhauer, Thorsten Poddig, Christian Fieberg
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104231
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
Cites Work
- The Model Confidence Set
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
- Handbook of computational economics. Vol. 2: Agent-based computational economics
- A global optimization heuristic for estimating agent based models
- Herding, a-synchronous updating and heterogeneity in memory in a CBS
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Traders' long-run wealth in an artificial financial market
- Estimation of ergodic agent-based models by simulated minimum distance
- Booms, busts and behavioural heterogeneity in stock prices
- Bayesian estimation of agent-based models
- Estimation of financial agent-based models with simulated maximum likelihood
- Direct comparison of agent-based models of herding in financial markets
- Estimation of agent-based models using sequential Monte Carlo methods
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Generalized autoregressive conditional heteroscedasticity
- Identifying booms and busts in house prices under heterogeneous expectations
- A comparison of economic agent-based model calibration methods
- The impact of heterogeneous trading rules on the limit order book and order flows
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Herding behaviour and volatility clustering in financial markets
- Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching
- Agent-based simulation of a financial market
This page was built for publication: Multi-agent-based VaR forecasting
