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Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach
Chen, Zhenxi; Lux, Thomas Springer (2018-10)We take the model of Alfarano et al. (J Econ Dyn Control 32:101–136, 2008) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental ...