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The Markov-Switching Multi-Fra...
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interbank market
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multi-fractality
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herding
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tail index estimation
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.50.Ga
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Lux, Thomas
127
Alfarano, Simone
15
Gamba, Andrea
12
Wagner, Friedrich
8
Fricke, Daniel
7
Gupta, Rangan
6
Marchesi, Michele
6
: Andrea Gamba
5
: Constantinos Antoniou
5
Finger, Karl
5
Kaizoji, Taisei
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Salmon, Mark
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: Arie E. Gozluklu
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: Roman Kozhan
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Basu, Devraj
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Chen, Shu-Heng
4
Ghonghadze, Jaba
4
Kozhan, Roman
4
Stremme, Alexander
4
: Jana P. Fidrmuc
3
Colander, David
3
Fidrmuc, Jana P.
3
Föllmer, Hans
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Haas, Armin
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Juselius, Katarina
3
Kirman, Alan
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LUX, THOMAS
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Leon, Carmen Aranda
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Montagna, Mattia
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Morales-Arias, Leonardo
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Nasr, Adnen Ben
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Oomen, Roel
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Sornette, Didier
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Financial Econometrics Research Centre, Warwick Business School
78
Institut für Weltwirtschaft (IfW)
18
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
9
Society for Computational Economics - SCE
5
University of Bonn, Germany
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1
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Working Papers / Financial Econometrics Research Centre, Warwick Business School
78
Kiel Working Papers
14
FinMaP-Working Papers
8
Journal of Economic Dynamics and Control
6
Journal of economic behavior & organization : JEBO
5
Journal of economic dynamics & control
5
Discussion Paper Serie B
4
Journal of Economic Behavior & Organization
4
Open Access Publications from Kiel Institute for the World Economy
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Physica A: Statistical Mechanics and its Applications
4
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2
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2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of Economic Interaction and Coordination
2
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2
Macroeconomic Dynamics
2
Wirtschaftsdienst
2
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2
Annals of Finance
1
Applied Economics
1
Applied Economics Letters
1
Applied Financial Economics
1
Applied economics
1
Applied financial economics
1
CeNDEF Workshop Papers, January 2001
1
Computational Management Science
1
Computational Statistics & Data Analysis
1
Computing in Economics and Finance 2001
1
Computing in Economics and Finance 2003
1
Computing in Economics and Finance 2004
1
Discussion Papers / Økonomisk Institut, Københavns Universitet
1
Economic Journal
1
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Handbook of Research on Complexity
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Jahrbücher für Nationalökonomie und Statistik
1
Journal of Business & Economic Statistics
1
Journal of Economics
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RePEc
167
OLC EcoSci
25
ECONIS (ZBW)
5
USB Cologne (EcoSocSci)
1
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Microscopic Models of Financial Markets
Samanidou, E.
;
Zschischang, E.
;
Stauffer, D.
;
Lux, Thomas
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010721484
Saved in:
2
A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory
Lux, Thomas
;
Alfarano, Simone
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010721494
Saved in:
3
Financial Power Laws: Empirical Evidence, Models, and Mechanism
Lux, Thomas
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010721501
Saved in:
4
Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
Alfarano, Simone
;
Lux, Thomas
;
Wagner, Friedrich
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010721516
Saved in:
5
Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model
Alfarano, Simone
;
Lux, Thomas
;
Wagner, Friedrich
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010721519
Saved in:
6
Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
Lux, Thomas
;
Kaizoji, Taisei
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010901352
Saved in:
7
Extreme Value Theory as a Theoretical Background for Power Law Behaviour
Alfarano, Simone
;
Lux, Thomas
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010823395
Saved in:
8
Applications of Statistical Physics in Finance and Economics
Lux, Thomas
-
Financial Econometrics Research Centre, Warwick …
-
2006
Persistent link: https://www.econbiz.de/10010823397
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9
True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
Lux, Thomas
;
Matteo, Di
;
Ruipeng, Liu
-
Financial Econometrics Research Centre, Warwick …
-
2007
Persistent link: https://www.econbiz.de/10004981139
Saved in:
10
Stochastic Behavioral Asset Pricing Models and the Stylized Facts
Lux, Thomas
-
Financial Econometrics Research Centre, Warwick …
-
2008
Persistent link: https://www.econbiz.de/10004981148
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