5 Results enter search term Search Reset filter Suchfilter Topics Financial Markets (3) USA (2) Publication Type Working Paper (3) Journal Article (2) Research International Macroeconomics (5) Macroeconomic Research (5) Experts Friedrich Wagner (5) Matthias Raddant (4) Simone Alfarano (1) Thomas Lux (1) Publication Series Kiel Working Papers (3) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Experts: Friedrich Wagner Remove all filters Working Paper Multivariate GARCH for a large number of stocks Kiel Working Papers 09/2016 Download Matthias Raddant, Friedrich Wagner The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the... Journal Article Phase transition in the S&P stock market Economic Interaction and Coordination 11/2016 Download Matthias Raddant, Friedrich Wagner We analyze the returns of stocks contained in the Standard & Poor’s 500 index from 1987 until 2011. We use covariance matrices of the firms’... Journal Article Time Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach Journal of Economic Dynamics and Control 01/2008 Simone Alfarano, Thomas Lux, Friedrich Wagner A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of... Working Paper Phase Transition in the S&P Stock Market Kiel Working Papers 06/2013 Download Matthias Raddant, Friedrich Wagner We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of... Working Paper Transitions in the Stock Markets of the US, UK, and Germany Kiel Working Papers 12/2014 Download Matthias Raddant, Friedrich Wagner In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets... Selected Publication Series Kiel Working Papers Kiel Policy Briefs Kiel Institute Economic Outlook Kiel Focus Review of World Economics
Working Paper Multivariate GARCH for a large number of stocks Kiel Working Papers 09/2016 Download Matthias Raddant, Friedrich Wagner The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the...
Journal Article Phase transition in the S&P stock market Economic Interaction and Coordination 11/2016 Download Matthias Raddant, Friedrich Wagner We analyze the returns of stocks contained in the Standard & Poor’s 500 index from 1987 until 2011. We use covariance matrices of the firms’...
Journal Article Time Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach Journal of Economic Dynamics and Control 01/2008 Simone Alfarano, Thomas Lux, Friedrich Wagner A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of...
Working Paper Phase Transition in the S&P Stock Market Kiel Working Papers 06/2013 Download Matthias Raddant, Friedrich Wagner We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of...
Working Paper Transitions in the Stock Markets of the US, UK, and Germany Kiel Working Papers 12/2014 Download Matthias Raddant, Friedrich Wagner In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets...
