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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
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Stock price clustering and discreteness : the "compass rose" and complex dynamics
Vorlow, Constantinos E. - In: Progress in financial markets research, (pp. 333-349). 2012
Persistent link: https://www.econbiz.de/10009678537
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Nichtlineare Dynamik des Devisenmarktes
Höhener, Robert - 2005
Persistent link: https://www.econbiz.de/10003042101
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Foreign exchange rate dynamics
Mahajan, Arvind - In: Management in einer Welt der Globalisierung und …, (pp. 463-470). 2002
Persistent link: https://www.econbiz.de/10001667837
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Learning and time-varying macroeconomic volatility
Milani, Fabio - In: Journal of economic dynamics & control 47 (2014), pp. 94-114
Persistent link: https://www.econbiz.de/10010485928
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Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
Hennani, Rachida - 2015
Persistent link: https://www.econbiz.de/10011300800
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Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
Andreev, Nikolay; Lapshin, Victor - In: Financial econometrics and empirical market microstructure, (pp. 13-23). 2015
Persistent link: https://www.econbiz.de/10011326759
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Volatility spillovers and nonlinear dynamics between jet fuel prices and air carrier revenue passenger miles in the US
Adrangi, Bahram; Gritta, Richard D.; Raffiee, Kambiz - In: Review of economics & finance (2013) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10010244116
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Stock price clustering and discreteness : the "compass rose" and complex dynamics
Vorlow, Costantinos E. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002723360
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A dynamic exchange rate model with heterogeneous agents
Gori, Michele; Ricchiuti, Giorgio - In: Journal of evolutionary economics : JEE 28 (2018) 2, pp. 399-415
Persistent link: https://www.econbiz.de/10011948958