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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 D. 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 D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," SciencePo Working papers Main halshs-01242248, HAL.
    • Handle: RePEc:hal:spmain:halshs-01242248
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01242248
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    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. 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.
    7. 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.
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