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Multivariate multifractal models : estimation of parameters and applications to risk management

Liu, Ruipeng - 2008

Persistent link: https://www.econbiz.de/10003778163

An agent-based stochastic volatility model

Alfarano, Simone - 2006

Persistent link: https://www.econbiz.de/10003307294

Applications of agent-based models and nonlinear econometrics in finance

Demary, Markus - 2010

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...

Persistent link: https://www.econbiz.de/10008664302

Switching rates and the asymptotic behavior of herding models

Irle, Albrecht; Kauschke, Jonas; Lux, Thomas; … - 2010

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the...

Persistent link: https://www.econbiz.de/10003932610

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas - 2008

Persistent link: https://www.econbiz.de/10008856295

The efficient market hypothesis through the eyes of an artificial technical analyst

Yusupov, Timur - 2007

Persistent link: https://www.econbiz.de/10003500721

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

Extreme value theory as a theoretical background for power law behavior

Alfarano, Simone; Lux, Thomas - 2010

theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme … fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and … therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …

Persistent link: https://www.econbiz.de/10008654245

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10009570666

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...

Persistent link: https://www.econbiz.de/10009314521