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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
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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
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Macroeconomic attention, economic policy uncertainty, and stock volatility predictability
Ma, Feng; Guo, Yangli; Chevallier, Julien; Huang, Dengshi - In: International review of financial analysis 84 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013472723