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Nonlinear and stochastic dynamical systems modeling price dynamics : aspects of financial economics in oil markets
Jäger, Simon - 2008
Persistent link: https://www.econbiz.de/10003719533
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Intermittency, long-memory and financial returns
Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006
Persistent link: https://www.econbiz.de/10003375590
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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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Essays in empirical economics
Cohen-Cole, Ethan - 2006
Persistent link: https://www.econbiz.de/10003971783
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas (contributor) - 2006
Multifractal 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/10003392192
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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
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Dynamics of endogenous business cycles and exchange rate volatility
Böhm, Volker; Kikuchi, Tomoo - 2002
This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...
Persistent link: https://www.econbiz.de/10011538984
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under time-varying volatility
Barunik, Jozef; Kukacka, Jiri - 2014
This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory … that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets. …
Persistent link: https://www.econbiz.de/10010407518
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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