Estimation of a structural stochastic volatility model of asset pricing

DOI10.1007/S10614-010-9238-7zbMath1213.91166OpenAlexW1982696788MaRDI QIDQ540665

Reiner Franke, Frank H. Westerhoff

Publication date: 3 June 2011

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9238-7

zbMATH Keywords

stochastic volatilitymethod of simulated momentsautocorrelation patternsdaily returnsfundamentalist and technical trading

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

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• Estimation of a structural stochastic volatility model of asset pricing
• Simulation estimation of time-series models
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• On the specification of noise in two agent-based asset pricing models

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