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Finanzmärkte und makroökonomische Aktivität
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Recent Publications
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Forthcoming
- Lux, T., Morales-Arias, L. (Forthcoming). Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations. Computational Statistics and Data Analysis
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2010
- Alfarano, S., Lux, T., Milakovic, M. (2010). Interdisciplinary Applications of Physics in Economics and Finance. The European Physical Journal B, 73(1), 1-2.
- Herwartz, H., Morales-Arias, L. (2010). An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices. Kiel Working Papers, 1581, Institut für Weltwirtschaft, Kiel, 38 pp.
- Irle, A., Kauschke, J., Lux, T., Milakovic, M. (2010). Switching Rates and the Asymptotic Behavior of Herding Models. Kiel Working Papers, 1595, Institut für Weltwirtschaft, Kiel, 16 pp.
- Liu, R., Lux, T. (2010). Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models. Kiel Working Papers, 1594, Institut für Weltwirtschaft, 32 pp.
- Lux, T., Morales-Arias, L. (2010). Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence. Kiel Working Papers, 1582, Institut für Weltwirtschaft, Kiel, 35 pp.
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2009
- Bleichrodt, H., Schmidt, U., Zank, H. (2009). Additive Utility in Prospect Theory. Management Science, 55(5), 863-873.
- Colander, D., Foellmer, H., Haas, A., Kirman, A., Juselius, K., Sloth, B., Lux, T., , (2009). Mathematics, Methods, and Modern Economics. real-world economics review, 50, 118-121.
- Colander, D., Föllmer, H., Haas, A., Goldberg, M., Juselius, K., Kirman, A., Lux, T., Sloth, B. (2009). The Financial Crisis and the Systemic Failure of Academic Economics. Kiel Working Paper, 1489, Institut für Weltwirtschaft, Kiel, 17 pp.
- Colander, D., Föllmer, H., Haas, A., Goldberg, M., Juselius, K., Kirman, A., Lux, T., Sloth, B. (2009). The Financial Crisis and the Systemic Failure of Academic Economics . Critical Review, 21 (2-3), 249-267.
- Ghonghadze, J., Lux, T. (2009). Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. Kiel Working Paper, 1487, Institut für Weltwirtschaft, Kiel, 39 pp.
- Herwartz, H., Morales-Arias, L. (2009). In-Sample and Out-of-Sample Properties of International Stock Return Dynamics Conditional on Equilibrium Pricing Factors. European Journal of Finance, 15 (1), 1-28.
- Lux, T., (2009). Applications of Statistical Physics in Finance and Economics. Handbook of Research on Complexity, 213-258.
- Lux, T., Westerhoff, F. (2009). Economics Crisis. Nature Physics, 5, 2-3.
- Lux, T., Morales-Arias, L. (2009). Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations. Kiel Working Paper, 1532, Kiel Institute for the World Economy, Kiel, 35 pp.
- Lux, T., (2009). Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market. Kiel Working Paper, 1514, Institut für Weltwirtschaft, Kiel, 42 pp.
- Lux, T., (2009). Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey . Journal of Economic Bahavior and Organization, 72 (2), 638-655.
- Lux, T., (2009). Stochastic Behavioral Asset Pricing Models and the Stylized Facts. Handbook on Financial Markets, 161-215.
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2008
- Alfarano, S., Lux, T., Wagner, F. (2008). Time Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach. Journal of Economic Dynamics and Control, 32 (1), 101-136.
- Birnbaum, M., Schmidt, U. (2008). An Experimental Investigation of Violations of Transitivity in Choice under Uncertainty. Journal of Risk and Uncertainty, 37(1), 77-91.
- Cincotti, S., Gardini, L., Lux, T. (2008). Special issue on "New Advances in Financial Economics: Heterogeneity and Simulation". Computational Economics, 32 (1-2)
- de Graeve, F., Kick, T., Koetter, M. (2008). Monetary policy and financial (in)stability: An integrated micro–macro approach. JOURNAL OF FINANCIAL STABILITY, 4, Elsevier, 165-304.
- Dovern, J., Meier, C., Vilsmeier, J. (2008). How Resilient is the German Banking System to Macroeconomic Shocks?. Kiel Working Papers, 1419, Kiel Institute for the World Economy, 21 pp.
- Faggini, M., Lux, T. (2008). Coping with the Complexity of Economics.. Springer, Berlin.
- Farmer, J., Lux, T. (2008). Introduction to special issue on "Applications of Statistical Physics in Economics and Finance". Journal of Economic Dynamics and Control, 32 (1), 1-6.
- Hommes, C., Lux, T. (2008). Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments. Kiel Working Paper, 1466, Institut für Weltwirtschaft, Kiel, 40 pp.
- Liu, R., Di Matteo, T., Lux, T. (2008). Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components. Kiel Working Papers, 1427, Kiel Institute for the World Economy , Kiel, 15 pp.
- Liu, R., Di Matteo, T., Lux, T. (2008). Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components . Advances in Complex Systems, 11(5), 669-685.
- Lux, T., (2008). Applications of Statistical Physics in Finance and Economics. Kiel Working Papers, 1425, Kiel Institute for the World Economy , Kiel, 69 pp.
- Lux, T., (2008). Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. Kiel Working Papers, 1424, Kiel Institute for the World Economy , Kiel, 40 pp.
- Lux, T., (2008). Sentiment Dynamics and Stock Returns: The Case of the German Stock Market. Kiel Working Paper, 1470, Kiel Institute for the World Economy, Kiel, 28 pp.
- Lux, T., (2008). Stochastic Behavioral Asset Pricing Models and the Stylized Facts. Kiel Working Papers, 1426, Kiel Institute for the World Economy , Kiel, 79 pp.
- Lux, T., (2008). The Markov-Switching Multifractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility. Journal of Business and Economic Statistics, 26 (2), 194-210.
- Milakovic, M., Alfarano, S., Lux, T. (2008). The Small Core of the German Corporate Board Network. Kiel Working Paper, 1446, Institut für Weltwirtschaft, Kiel, 19 pp.
- Prelle, C., Irle, A. (2008). A Note on Arbitrage under Transaction Costs. Kiel Working Paper, 1450, Kiel Institute for the World Economy, Kiel, 7 pp.
- Prelle, C., Irle, A. (2008). A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets. Kiel Working Paper, 1449, Kiel Institute for the World Economy, Kiel, 28 pp.
- Schmidt, U., Starmer, C., Sudgen, R. (2008). Third-Generation Prospect Theory. Journal of Risk and Uncertainty, 36(3), 202-223.
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2007
- Kick, T., Koetter, M. (2007). Slippery Slopes of Stress: Ordered Failure Events in German Banking. Journal of Financial Stability, 3(2), 132-148.
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2006
- Koetter, M., Porath, D. (2006). Efficient, profitable and safe banking: an oxymoron? evidence from a panel VAR approach. Discussion Paper Series 2, Banking and financial studies, Deutsche Bundesbank, Frankfurt