Similar Search Results

Inference for nonlinear state space models : a comparison of different methods applied to Markov-switching multifractal models

Lux, Thomas - 2018

Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...

Persistent link: https://www.econbiz.de/10011891373

Essays on economic growth and business cycle dynamics

Stolzenburg, Ulrich - 2015

Persistent link: https://www.econbiz.de/10010486270

On rational bubbles and fat tails

Lux, Thomas; Sornette, Didier - 1999

Persistent link: https://www.econbiz.de/10001454330

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

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

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

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

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

Multifractal models in finance : their origin, properties, and applications

Segnon, Mawuli; Lux, Thomas - 2013

This chapter provides an overview over the recently developed so called multifractal (MF) approach for modeling and forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and provide details on different specifications of...

Persistent link: https://www.econbiz.de/10009778581

Exact solutions for the transient densities of continuous-time Markov switching models : with an application to the poisson multifractal model

Lux, Thomas - 2013

This paper shows how exact solutions for the transient density of a large class of continuous-time Markov switching models can be obtained. We illustrate the pertinent approach for both simple diffusion models with a small number of regimes as well as for the more complicated so-called Poisson...

Persistent link: https://www.econbiz.de/10010128826