### Filtern

#### Dokumenttyp

#### Schlagworte

- Capital-Asset-Pricing Modell ; Mehragentensystem ; Volabilität ; Online-Publikation (1)
- Kreditmarkt ; Stochastisches Modell ; Online-Publikation (1)
- Method of simulated moments; moment coverage ratio; herding; discrete choice approach; transition probability approach. (1)
- Structural stochastic volatility; method of simulated moments; autocorrelation pattern; fat tails; bootstrapped p-values (1)
- Wirtschaftspolitik ; Agency-Theorie ; Online-Publikation (1)

#### Institut

- Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftspolitik (6) (entfernen)

- Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation (2012)
- The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.

- Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest (2013)
- In 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.