Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...