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An objective function for simulation based inference on exchange rate data
8 references·11 citing·43 second hopsampled
An objective function for simulation based inference on exchange rate data (2007)An objective function for simulation base…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004)Persistence and Kurtosis in G…A global optimization heuristic for estimating agent based models (2003)A global optimization heurist…VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The socio-economic dynamics o…Ants, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…Agent-based Computational Finance (1989)Agent-based Computational Fin…A review of agent‐based modeling of climate‐energy policy (2020)A review of agent‐based model…A comparison of economic agent-based model calibration methods (2020)A comparison of economic agen…Rola percepcji ryzyka i niepewności w ocenie ryzyka systemowego : podejście symulacyjne ABM (2017)Rola percepcji ryzyka i niepe…Herding behaviour and volatility clustering in financial markets (2017)Herding behaviour and volatil…An information theoretic criterion for empirical validation of simulation models (2017)An information theoretic crit…Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation (2014)Why a simple herding model ma…Estimation of ergodic agent-based models by simulated minimum distance (2014)Estimation of ergodic agent-b…Macroeconomic Policy in DSGE and Agent-Based Models (2012)Macroeconomic Policy in DSGE …Estimation of a Structural Stochastic Volatility Model of Asset Pricing (2010)Estimation of a Structural St…The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies (2008)The Use of Agent-Based Financ…Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model (2008)Monetary and Fiscal Policy An…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Herd Behavior in Financial Markets (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Noise Trader Risk in Financial Markets (1990)The Use of Knowledge in Society (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Negative bubbles and shocks in cryptocurrency markets (2016)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Agent-based models of financial markets (2007)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead (2016)Macroeconomics and Reality (1980)Staggered prices in a utility-maximizing framework (1983)A method for agent-based models validation (2017)Macroeconomics with heterogeneous agent models: fostering transparency, reproducibility and replication (2018)Diffusion of Innovations 1 (2019)The Variation of Certain Speculative Prices (1963)Agent-based computational finance: Suggested readings and early research (2000)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation (1962)Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012)The spandrels of San Marco and the Panglossian paradigm: a critique of the adaptationist programme (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Heterogeneous Agent Models in Economics and Finance (2005)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)A Rational Route to Randomness (1997)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008)Dynamic stochastic copula models: estimation, inference and applications (2010)Modelling Electricity Prices: International Evidence* (2011)MONOPOLISTIC COMPETITION AND OPTIMUM PRODUCT DIVERSITY (1975)Discretion versus policy rules in practice (1993)An interdisciplinary model for macroeconomics (2017)Climate change and green transitions in an agent-based integrated assessment model (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS701 cited
  • 1989Agent-based Computational Finance693 cited
  • 1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions641 cited
  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
  • 2003A global optimization heuristic for estimating agent based models218 cited
  • 2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models208 cited

Cited by

  • 2012Macroeconomic Policy in DSGE and Agent-Based Models156 cited
  • 2014Estimation of ergodic agent-based models by simulated minimum distance128 cited
  • 2020A review of agent‐based modeling of climate‐energy policy125 cited
  • 2008The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies108 cited
  • 2014Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation98 cited
  • 2020A comparison of economic agent-based model calibration methods97 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2017Herding behaviour and volatility clustering in financial markets82 cited
  • 2010Estimation of a Structural Stochastic Volatility Model of Asset Pricing80 cited
  • 2017An information theoretic criterion for empirical validation of simulation models69 cited
  • 2008Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model28 cited
  • 2017Rola percepcji ryzyka i niepewności w ocenie ryzyka systemowego : podejście symulacyjne ABM1 cited