2006
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Paper Details |
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| 06-262 | S. Alfarano, T. Lux and F. Wagner Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach |
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| 06-261 | Simone Alfarano and Thomas Lux Extreme Value Theory as a Theoretical Background for Power Law Bahavior |
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| 06-260 | Thomas Lux and S Schornstein and D Stauffer Microscopic Models of Financial Markets |
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| 06-259 | Thomas Lux and Taisei Kaizoji Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching |
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| 06-258 | Thomas Lux, S Alfarano and F. Wagner Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model |
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| 06-257 | Thomas Lux and S Alfarano A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory In: Macroeconomic Dynamics / Volume 11 / Supplement S1 / November 2007, pp 80-101. |
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| 06-256 | Thomas Lux Applications of Statistical Physics in Finance and Economics |
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| 06-255 | Thomas Lux Financial Power Laws: Empirical Evidence, Models, and Mechanism |
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| 06-254 | Thomas Lux The Markov-Switching Multi-Fractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility |
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| 06-253 | Mark Salmon and Christoph Schleicher Pricing Multivariate Currency Options with Copulas |
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| 06-252 | Martin Ellison, Lucio Sarno and Jouko Vilmunen Caution or Activism? Monetary Policy Strategies in an Open Economy In: Macroeconomic Dynamics, 11, 2007, 519–541. |
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| 06-251 | Lucio Sarno, Daniel L Thornton and Yi Wen What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective In: Oxford Bulletin of Economics and Statistics, Vol.69 (No.2). pp. 293-319. |
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| 06-250 | Alexandra Dias and Paul Embrechts Dynamic Copula Models for Multivariate High-frequency Data in Finance |
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| 06-249 | Devraj Basu, Roel Oomen and Alexander Stremme Exploiting the Informational Content of the Linkages Between Spot and Derivatives Market |
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| 06-248 | Devraj Basu, Chi Hsiou Chung, Roel Oomen and Alexander Stremme When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation? |
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| 06-247 | Devraj Basu, Roel Oomen and Alexander Stremme International Diversification and Return Predictability: Optimal Dynamic Asset Allocation |
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| 06-246 | Devraj Basu and Alexander Stremme Asset Pricing Anomalies and Time-varying Betas: A New Specification Test for Conditional Factor Models |
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| 06-245 | Roman Kozhan Multiple Priors and No-Transaction Region |
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| 06-244 | Dimitris Psychoyios and George Skiadopoulos Implied Volatility Processes: Evidence from the Volatility Derivatives Markets |
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