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~person:"Lux, Thomas"
~subject:"Volatility"
~type_genre:"Article in journal"
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Search: ("Börse" OR "Finanzpolitik" OR "Konjunkturpolitik" OR "Finanzmarkt") AND NOT isPartOf:Wirtschaftsdienst
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Lux, Thomas
Gupta, Rangan
74
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38
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35
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28
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25
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24
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17
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17
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15
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15
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15
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15
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14
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14
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14
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14
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14
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14
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14
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14
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1
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1
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ECONIS (ZBW)
7
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7
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1
Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas
;
Marchesi, Michele
- In:
International journal of theoretical and applied finance
3
(
2000
)
4
,
pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
Saved in:
2
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Saved in:
3
Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba
;
Lux, Thomas
- In:
Journal of empirical finance
37
(
2016
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
Saved in:
4
Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
Saved in:
5
Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching
Lux, Thomas
;
Kaizoji, Taisei
- In:
Journal of economic dynamics & control
31
(
2007
)
6
,
pp. 1808-1843
Persistent link: https://www.econbiz.de/10003487855
Saved in:
6
The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
2
,
pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
Saved in:
7
The limiting extremal behaviour of speculative returns : an analysis of intra-daily data from the Frankfurt Stock Exchange
Lux, Thomas
- In:
Applied financial economics
11
(
2001
)
3
,
pp. 299-315
Persistent link: https://www.econbiz.de/10001688787
Saved in:
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