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

Li, Youwei; Donkers, Bas; Melenberg, Bertrand

doi:10.2139/ssrn.939510

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

CentER Discussion Paper No. 2006-95

19 Pages Posted: 24 Oct 2006

See all articles by Youwei Li

Bas Donkers

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Bertrand Melenberg

Tilburg University - Center for Economic Research (CentER)

Date Written: October 2006

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.

Keywords: Microscopic simulation models, Probability density function, Spectral density function, Memory parameters

JEL Classification: C14, G12

Suggested Citation: Suggested Citation

Li, Youwei and Donkers, Bas and Melenberg, Bertrand, The Non- and Semiparametric Analysis of Ms Models: Some Applications (October 2006). CentER Discussion Paper No. 2006-95, Available at SSRN: https://ssrn.com/abstract=939510 or http://dx.doi.org/10.2139/ssrn.939510