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dc.contributor.authorFranke, Reineren_US
dc.contributor.authorWesterhoff, Franken_US
dc.date.accessioned2011-05-13en_US
dc.date.accessioned2011-05-13T14:45:46Z-
dc.date.available2011-05-13T14:45:46Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-931052-88-1en_US
dc.identifier.urihttp://hdl.handle.net/10419/45552-
dc.description.abstractIn the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSM), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research.en_US
dc.language.isoengen_US
dc.publisherBERG Bambergen_US
dc.relation.ispartofseriesBERG working paper series on government and growth 78en_US
dc.subject.jelD84en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordMethod of simulated momentsen_US
dc.subject.keywordmoment coverage ratioen_US
dc.subject.keywordherdingen_US
dc.subject.keyworddiscrete choice approachen_US
dc.subject.keywordtransition probability approachen_US
dc.titleStructural stochastic volatility in asset pricing dynamics: Estimation and model contesten_US
dc.typeWorking Paperen_US
dc.identifier.ppn658137409en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bamber:78-
Appears in Collections:BERG Working Paper Series, Universität Bamberg

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