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• W2109154977 abstract "The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by Alfarano, Lux & Wagner and the more recent model by Franke & Westerhoff, which all share a common lineage to the herding model introduced by Kirman (1993). In addition, standard ARCH processes are included for each financial series to provide a benchmark for the explanatory power of the models. The methodology provides a clear and consistent ranking of the three models. More importantly, it also reveals that the best performing model, Franke & Westerhoff, is generally not distinguishable from an ARCH-type process, suggesting their explanatory power on the data is similar." @default.
• W2109154977 created "2016-06-24" @default.
• W2109154977 creator A5006778682 @default.
• W2109154977 date "2015-04-01" @default.
• W2109154977 modified "2023-10-11" @default.
• W2109154977 title "Direct calibration and comparison of agent-based herding models of financial markets" @default.
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• W2109154977 hasPublicationYear "2015" @default.
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