Narrow search
Showing 1 - 10 of 84
Cover Image
Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
Finger, Karl; Lux, Thomas - 2014
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010398687
Cover Image
Friendship between banks : an application of an actor-oriented model of network formation on interbank credit relations
Finger, Karl; Lux, Thomas - 2014
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010406423
Cover Image
Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
Finger, Karl; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2014
This paper investigates the driving forces behind banks' link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010958900
Cover Image
The Financial Crisis and the Systemic Failure of Academic Economics
Colander, David; Föllmer, Hans; Haas, Armin; Goldberg, … - Institut für Weltwirtschaft (IfW) - 2009
The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly underestimated its dimensions once it started to unfold. In our view, this lack of understanding is due to a misallocation of research efforts in...
Persistent link: https://www.econbiz.de/10005755239
Cover Image
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas - 2014
connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …
Persistent link: https://www.econbiz.de/10010347389
Cover Image
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas - 2014
connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank …
Persistent link: https://www.econbiz.de/10010406930
Cover Image
Systemic risk in modern financial systems
Montagna, Mattia - 2015
Persistent link: https://www.econbiz.de/10011489039
Cover Image
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas - In: Journal of economic dynamics & control 52 (2015), pp. 11-23
Persistent link: https://www.econbiz.de/10011474223
Cover Image
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
Cover Image
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