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Volatility clustering in financial markets : a micro-simulation of interacting agents
Lux, Thomas; Marchesi, Michele - 1998
Persistent link: https://www.econbiz.de/10001372570
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …
Persistent link: https://www.econbiz.de/10011431839
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Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - 2015
form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …
Persistent link: https://www.econbiz.de/10010501932
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …
Persistent link: https://www.econbiz.de/10011296114
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Inference for nonlinear state space models : a comparison of different methods applied to Markov-switching multifractal models
Lux, Thomas - 2018
Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...
Persistent link: https://www.econbiz.de/10011891373
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …
Persistent link: https://www.econbiz.de/10001739289
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Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models
Lux, Thomas (contributor); Kaizoji, Taisei (contributor) - 2004 - [Elektronische Ressource]
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …, volatility. …
Persistent link: https://www.econbiz.de/10002090155
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas (contributor); Schornstein, Sascha (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781205