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A note on the stability of endogenous cycles in Diamond's model of search and barter
Lux, Thomas - In: Journal of economics 56 (1992) 2, pp. 185-196
Persistent link: https://www.econbiz.de/10001138066
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Ratchet-effects and 'hysteresis' in a dynamic insider-outsider model
Lux, Thomas - 1993
Persistent link: https://www.econbiz.de/10000864007
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Essays on economic growth and business cycle dynamics
Stolzenburg, Ulrich - 2015
Persistent link: https://www.econbiz.de/10010486270
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Keynesianische Stabilisierungspolitik in neokeynesianischen Modellen
Lux, Thomas - 1990
Persistent link: https://www.econbiz.de/10000810351
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Agent-based models, macroeconomic scaling laws and sentiment dynamics
Lin, Lin - 2012
Persistent link: https://www.econbiz.de/10009487322
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Komparativ-statische Analyse eines "rekonstruierten" klassischen Makromodells
Lux, Thomas - In: Elemente volkswirtschaftlicher Forschung und Lehre : …, (pp. 53-64). 1993
Persistent link: https://www.econbiz.de/10001312700
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Lack of identification of parameters in a simple behavioral macroeconomic model
Lux, Thomas - 2024
Identifiability of the parameters is an important precondition for consistent estimation of models designed to describe empirical phenomena. Nevertheless, many estimation exercises proceed without a preliminary investigation into the identifiability of its models. As a consequence, the estimates...
Persistent link: https://www.econbiz.de/10014581341
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …
Persistent link: https://www.econbiz.de/10010295106
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136