Applying the method of simulated moments to estimate a small agent-based asset pricing model☆

By R. Franke. 2009

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f48c5687a875bb3d397595eae6eded0bc96715c3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. R. Franke
2. Frank H. Westerhoff
3. Jakob Grazzini
4. Matteo G. Richiardi
5. Cars H. Hommes

In Finance

1. Frank H. Westerhoff
2. Jakob Grazzini
3. Matteo G. Richiardi
4. R. Franke
5. Cars H. Hommes

In Management Science and Operations Research

1. Frank H. Westerhoff
2. Jakob Grazzini
3. Matteo G. Richiardi
4. R. Franke

Citations in the corpus

• Estimation of ergodic agent-based models by simulated minimum distance (2015, methodology): “Franke (2009) estimates, also by MSM, six parameters of an AB asset pricing model.”
• Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012, methodology): “…variance-covariance matrix Σ̂ of the moments, W = Σ̂ −1 (4) One such estimate Σ̂ to set up W may be obtained from a Newey-West estimator of the long-run covariance matrix of the empirical moments (see, e.g., Lee and Ingram, 1991, p. 202, or the application of MSM in Franke, 2009, Section 2.2).”