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Estimation of sentiment effects in financial markets: A simulated method of moments approach
Zhenxi, Chen; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2015
We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...
Persistent link: https://www.econbiz.de/10011246037
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Assessment of model validity of analytic network process using structural equations modelling: an application of supplier evaluation problem
Yıldız YuluÄŸkural; Yörür, Bahadır; Akman, … - In: European Journal of Industrial Engineering 7 (2013) 1, pp. 55-77
minimise the errors arising from the decision maker during modelling for increasing problem-solving efficiency of analytic … problem was modelled by ANP based on experts' opinions; 2) the model is assessed by structural equation modelling (SEM) for … ability of modelling of ANP approach that is widely used in literature. [Submitted 03 January 2011; Revised 26 May 2011 …
Persistent link: https://www.econbiz.de/10011145350
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Identification of Social Interaction Effects in Financial Data
Jang, Tae-Seok - In: Computational Economics 45 (2015) 2, pp. 207-238
In this paper, we present a stochastic agent-based model and extend an artificial financial market by considering a stochastic process of market fundamentals. The model predicts that groups of noise traders are busy communicating when market uncertainty is high. In particular, we examine the...
Persistent link: https://www.econbiz.de/10011155113
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Simulated Clinical Trias: some design issues
Giovagnoli, Alessandra; Zagoraiou, Maroussa - Dipartimento di Scienze Statistiche "Paolo Fortunati", …
Simulation is widely used to investigate real-world systems in a large number of fields, including clinical trials for drug development, since real trials are costly, frequently fail and may lead to serious side effects. This paper is a survey of the statistical issues arising in these simulated...
Persistent link: https://www.econbiz.de/10011228116
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A note on the performance measure of conservation auctions
Latacz-Lohmann, Uwe; Schilizzi, Steven - School of Agricultural and Resource Economics, … - 2011
We argue that previous assessments of discriminatory-price conservation auctions may have systematically overestimated their performance relative to uniform-payment schemes due to an inappropriate counterfactual comparison. We demonstrate that the cost curve (and not the bid curve) is the...
Persistent link: https://www.econbiz.de/10008866194
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Evaluating conservation auctions with limited information: the policy maker’s predicament
Schilizzi, Steven; Latacz-Lohmann, Uwe - School of Agricultural and Resource Economics, … - 2011
Buying environmental services from private landholders using tendering mechanisms are usually subject to a budget constraint. Auction theory has mostly focused on target-constrained auctions and is less well developed for this type of auction. This paper examines a theoretical model specifically...
Persistent link: https://www.econbiz.de/10008874636
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Simple but Effective: The OeNB’s Forecasting Model for Selected CESEE Countries
Cuaresma, Jesús Crespo; Feldkircher, Martin; Slacík, … - In: Focus on European Economic Integration (2009) 4, pp. 84-95
This paper describes the new forecasting tool used by the Oesterreichische Nationalbank (OeNB) to derive near-term forecasts for GDP and imports for five Central, Eastern and Southeastern European (CESEE) countries, namely Bulgaria, Croatia, the Czech Republic, Hungary and Poland. An error...
Persistent link: https://www.econbiz.de/10008623567
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Business cycle measurement with some theory
Canova, Fabio; Paustian, Matthias - C.E.P.R. Discussion Papers - 2011
A method to evaluate cyclical models which does not require knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or...
Persistent link: https://www.econbiz.de/10009001058
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From SHIW to IT-SILC: Construction and Representativeness of the New CAPP_DYN First-Year Population
Ciani, Emanuele; fresu, Donatella - Dipartimento di Economia "Marco Biagi", Università … - 2011
This paper describes the construction of the initial population in CAPP_DYN and illustrates the degree of representativeness of the Italian population in 2006. While the previous version of the model was constructed using the Bank of Italy Survey on Household Income and Wealth, the current...
Persistent link: https://www.econbiz.de/10009319019
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Simulating heterogeneous multinational firms
Arita, Shawn; Tanaka, Kiyoyasu - Institute of Developing Economies, Japan External Trade … - 2011
This paper develops a micro-simulation framework for multinational entry and sales activities across countries. The model is based on Eaton, Kortum, and Kramarz's (2010) quantitative trade model adapted towards multinational production. Using micro data on Japanese manufacturing firms, we first...
Persistent link: https://www.econbiz.de/10009351426