文献类型：期刊文献

英文题名：Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market

作者：Ji, Jingru[1];Wang, Donghua[1,2];Xu, Dinghai[3]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[3]Univ Waterloo, Dept Econ, 200 Univ Ave West, Waterloo, ON N2L 3G1, Canada

年份：2019

卷号：80

起止页码：383

外文期刊名：ECONOMIC MODELLING

收录：;WOS:【SSCI(收录号:WOS:000472692000030)】；

基金：We would like to thank two anonymous referees and the associate editor for their valuable comments and suggestions on the earlier versions of the paper. This research is supported by the National Science Foundation of China [grant number 71171083, 71771087]; Innovation Program of Shanghai Municipal Education Commission [grant number 14ZS058]; Shanghai Pujiang Program [grant number 15PJC021]. Dinghai Xu would also like to acknowledge the financial support from the International Research Partnership Grant (IRPG) at University of Waterloo. All errors remain ours.

语种：英文

摘要：This paper focuses on investigating financial asset returns' extreme risks, which are defined as the negative log returns over a certain threshold. A simple agent-based model is constructed to explain the behavior of the market traders when extreme risks occur. We consider both the volatility clustering and the heavy tail characteristics when constructing the model. Empirical study uses the China securities index 300 daily level data and applies the method of simulated moments to estimate the model parameters. The stationarity and ergodicity tests provide evidence that the proposed model is good for estimation and prediction. The goodness-of-fit measures show that our proposed model fits the empirical data well. Our estimated model performs well in out-of-sample Value-at Risk prediction, which contributes to the risk management.