The Non- and Semiparametric Analysis of MS Models: Some Applications

Y. Li, A.C.D. Donkers, B. Melenberg

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Abstract

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically.As examples we investigate the marginal single-period probability density function of stock returns, and the corresponding spectral density function and memory parameters.We illustrate the methodology by the MS models developed by Levy, Levy, Solomon (2000) and the market fraction model developed by He and Li (2005a, b), and confront the resulting return data with the S&P 500 stock index data.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages20
Volume2006-95
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-95

Keywords

  • Microscopic simulation models
  • Probability density function
  • Spectral density function
  • Memory parameters

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    Li, Y., Donkers, A. C. D., & Melenberg, B. (2006). The Non- and Semiparametric Analysis of MS Models: Some Applications. (CentER Discussion Paper; Vol. 2006-95). Econometrics.