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Complex interactions in financial markets
Finger, Karl - 2014
Persistent link: https://www.econbiz.de/10011305495
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Relative forecasting performance of volatility models : Monte Carlo evidence
Lux, Thomas; Morales-Arias, Leonardo - 2010
A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional Heteroskedasticity...
Persistent link: https://www.econbiz.de/10003932329
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...
Persistent link: https://www.econbiz.de/10009389845
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International spillovers in global asset markets
Belke, Ansgar; Dubova, Irina - 2017
international bond and equity markets are highly connected both within and across asset classes in a globalized world, where the … und über verschiedene Assetklassen hinweg in einer globalisierten Welt hochgradig miteinander verflochten sind. Der …
Persistent link: https://www.econbiz.de/10011657650
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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International spillovers in global asset markets
Belke, Ansgar; Dubova, Irina - 2017
international bond and equity markets are highly connected both within and across asset classes in a globalized world, where the …
Persistent link: https://www.econbiz.de/10011691587
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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
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Financial crisis, global liquidity and monetary exit strategies
Belke, Ansgar - 2010
We develop a roadmap of how the ECB should further reduce the volume of money (money supply) and roll back credit easing in order to prevent inflation. The exits should be step-by-step rather than one-off. Communicating about the exit strategy must be an integral part of the exit strategy. Price...
Persistent link: https://www.econbiz.de/10003958646
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Financial crisis, global liquidity and monetary exit strategies
Belke, Ansgar - 2010
We develop a roadmap of how the ECB should further reduce the volume of money (money supply) and roll back credit easing in order to prevent inflation. The exits should be step-by-step rather than one-off . Communicating about the exit strategy must be an integral part of the exit strategy....
Persistent link: https://www.econbiz.de/10003961040
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Global liquidity, world savings glut and global policy coordination
Belke, Ansgar; Gros, Daniel - 2010
The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...
Persistent link: https://www.econbiz.de/10003934687