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A Socio-Finance Model: Inference and empirical application

Author

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  • Jørgen Vitting Andersen

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Ioannis Vrontos

    (AUEB - Athens University of Economics and Business)

  • Petros Dellaportas

    (AUEB - Athens University of Economics and Business)

  • Serge Galam

    (CEVIPOF - Centre de recherches politiques de Sciences Po (Sciences Po, CNRS) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this report we show the empirical application of our socio-finance model introduced in Andersen, Vrontos, Dellaportas and Galam (2014).

Suggested Citation

  • Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "A Socio-Finance Model: Inference and empirical application," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215605, HAL.
    • Handle: RePEc:hal:cesptp:hal-01215605
    Note: View the original document on HAL open archive server: https://hal.science/hal-01215605
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    References listed on IDEAS

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    1. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
    2. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215750, HAL.
    3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    4. Ioannis Vrontos, 2012. "Evidence for hedge fund predictability from a multivariate Student's t full-factor GARCH model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(6), pages 1295-1321, November.
    5. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    6. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    7. Biondi, Yuri & Giannoccolo, Pierpaolo & Galam, Serge, 2012. "Formation of share market prices under heterogeneous beliefs and common knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5532-5545.
    8. Mak, T. K. & Wong, H. & Li, W. K., 1997. "Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares," Computational Statistics & Data Analysis, Elsevier, vol. 24(2), pages 169-178, April.
    9. I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
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    Cited by:

    1. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215750, HAL.
    2. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01951164, HAL.
    3. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Post-Print hal-01951164, HAL.
    4. Naji Massad & J{o}rgen Vitting Andersen, 2019. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Papers 1902.10800, arXiv.org.

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    More about this item

    Keywords

    Socio-finance; communication; stylized facts;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • C0 - Mathematical and Quantitative Methods - - General

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    Access and download statistics

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