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8 Results

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  • Publication Type

    • Working Paper (6)
    • Journal Article (2)
  • Research

    • International Macroeconomics (8)
    • Macroeconomic Research (8)
  • Experts

    • Leonardo Morales-Arias (8)
    • Thomas Lux (4)
    • Helmut Herwartz (2)
    • Alexander Dross (1)
    • Cristina Sattarhoff (1)
    • Guilherme V. Moura (1)
  • Publication Series

    • Kiel Working Papers (6)
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  • Experts: Leonardo Morales-Arias
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  1. Working Paper

    Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence

    Kiel Working Papers
    01/2010
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    Thomas Lux, Leonardo Morales-Arias

    A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data...

  2. Journal Article

    In-Sample and Out-of-Sample Properties of International Stock Return Dynamics Conditional on Equilibrium Pricing Factors

    European Journal of Finance
    01/2009
    Helmut Herwartz, Leonardo Morales-Arias

    We conduct a comprehensive analysis of the in-sample and out-of-sample properties of stock return dynamics in 14 developed and 12 emerging...

  3. Working Paper

    Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations

    Kiel Working Papers
    07/2009
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    Thomas Lux, Leonardo Morales-Arias

    The Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t henceforth) is introduced as an extension to the...

  4. Journal Article

    Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations

    Computational Statistics & Data Analysis
    11/2010
    Thomas Lux, Leonardo Morales-Arias

    The Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t henceforth) is introduced as an extension to the...

  5. Working Paper

    A Conditionally Heteroskedastic Global Inflation Model

    Kiel Working Papers
    11/2010
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    Leonardo Morales-Arias, Guilherme V. Moura

    This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model...

  6. Working Paper

    An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices

    Kiel Working Papers
    01/2010
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    Helmut Herwartz, Leonardo Morales-Arias

    This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real...

  7. Working Paper

    Adaptive Forecasting of Exchange Rates with Panel Data

    Kiel Working Papers
    10/2010
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    Leonardo Morales-Arias, Alexander Dross

    This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative...

  8. Working Paper

    A Markov-switching Multifractal Approach to Forecasting Realized Volatility

    Kiel Working Papers
    10/2011
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    Thomas Lux, Leonardo Morales-Arias, Cristina Sattarhoff

    The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility...

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