The Non- and Semiparametric Analysis of MS Models

Some Applications

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

Research output: Working paperDiscussion paperOther research output

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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

Fingerprint

Simulation Model
Spectral Density Function
Stock Index
Stock Returns
Probability density function
Methodology
Model
Market

Keywords

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

Cite this

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

The Non- and Semiparametric Analysis of MS Models : Some Applications. / Li, Y.; Donkers, A.C.D.; Melenberg, B.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-95).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - The Non- and Semiparametric Analysis of MS Models

T2 - Some Applications

AU - Li, Y.

AU - Donkers, A.C.D.

AU - Melenberg, B.

N1 - Subsequently published in Intelligent Data Engineering and Automated Learning (book), 2007 Pagination: 20

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Y1 - 2006

N2 - 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.

AB - 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.

KW - Microscopic simulation models

KW - Probability density function

KW - Spectral density function

KW - Memory parameters

M3 - Discussion paper

VL - 2006-95

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BT - The Non- and Semiparametric Analysis of MS Models

PB - Econometrics

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Li Y, Donkers ACD, Melenberg B. The Non- and Semiparametric Analysis of MS Models: Some Applications. Tilburg: Econometrics. 2006. (CentER Discussion Paper).