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Displaying results 1 to 6 of 6.

  1. A state-space approach for time-series prediction of an heterogeneous agent model
    Author: Gusella, Filippo; Ricchiuti, Giorgio
    Published: [2022]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 650
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2022, n. 20
    Subjects: Heterogeneous expectations; forecasting; RW; Gordon model; state-space model
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  2. Detecting and measuring financial cycles in heterogeneous agents models
    an empirical analysis
    Author: Gusella, Filippo
    Published: [2022]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 650
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2022, n. 02
    Subjects: Heterogeneous Agent Models; Heterogeneous Expectations; Endogenous Cycles; State Space Model; Period of Cycles
    Scope: 1 Online-Ressource (circa 19 Seiten)
  3. Endogenous vs exogenous instability
    an out-of-sample comparison
    Author: Delli Gatti, Domenico; Gusella, Filippo; Ricchiuti, Giorgio
    Published: April 2024
    Publisher:  CESifo, Munich, Germany

    Given the unobserved nature of expectations, this paper employs latent variable analysis to examine three financial instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which implies... more

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
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    Given the unobserved nature of expectations, this paper employs latent variable analysis to examine three financial instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which implies exogenous instability phenomena, with a linear state-space model and a nonlinear Markov regime-switching model, both of which postulate endogenous fluctuations phenomena due to heterogeneous behavioral heuristics. Using the S&P 500 dataset from 1990 to 2019, results confirm complex endogenous dynamics and suggest that the inclusion of behavioral nonlinearities improves the model’s predictability both in the short, medium, and long run.

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/296171
    Series: CESifo working papers ; 11082 (2024)
    Subjects: endogenous instability; exogenous instability; behavioral model; forecasting analysis
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  4. Financial instability and income inequality
    why the connection Minsky-Piketty matters for macroeconomics
    Author: Gusella, Filippo; Variato, Anna Maria
    Published: [2021]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 650
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2021, n. 15
    Subjects: Economic Inequality; Financial Instability Hypothesis; Endogenous Cycles
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  5. Notes on Piketty's model
    Author: Gusella, Filippo
    Published: [2020]
    Publisher:  Università di Siena, [Siena]

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 444
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Quaderni del Dipartimento di economia politica e statistica ; n. 830 (maggio 2020)
    Subjects: Piketty; economic inequality; fundamental laws of capitalism; functional distribution of income; economic growth
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  6. State space model to detect cycles in heterogeneous agents models
    Author: Gusella, Filippo; Ricchiuti, Giorgio
    Published: [2021]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 650
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2021, n. 10
    Subjects: Heterogeneous Agents Models; Endogenous Cycles; State Space Model; Kalman Filter
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen