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An analysis of systematic risk in worldwide econonomic sentiment indices

Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018 - Ver. January 2, 2018

tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information … embedded in the interactions between economic and business sentiment indices around the world. We find that: (i) The dynamics … collapse of the US housing market in 2007, can lead to a homogenization of the expectation structure around the world, as such …

Persistent link: https://www.econbiz.de/10011790790

The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2006

Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

Persistent link: https://www.econbiz.de/10003392192

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas (contributor) - 2008

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

Persistent link: https://www.econbiz.de/10003721495

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10003721498

The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev

Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

Persistent link: https://www.econbiz.de/10002468813

A noise trader model as a generator of apparent financial power laws and long memory

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2005

In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even...

Persistent link: https://www.econbiz.de/10003077003

Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach

Alfarano, Simone (contributor); Lux, Thomas (contributor); … - 2005

A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that...

Persistent link: https://www.econbiz.de/10003077054

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781206

Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781208

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...

Persistent link: https://www.econbiz.de/10012672178