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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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