8 Results enter search term Search Reset filter Suchfilter 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) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Experts: Leonardo Morales-Arias Remove all filters Working Paper Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence Kiel Working Papers 01/2010 Download 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... 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... Working Paper Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations Kiel Working Papers 07/2009 Download 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... 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... Working Paper A Conditionally Heteroskedastic Global Inflation Model Kiel Working Papers 11/2010 Download Leonardo Morales-Arias, Guilherme V. Moura This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model... Working Paper An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices Kiel Working Papers 01/2010 Download 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... Working Paper Adaptive Forecasting of Exchange Rates with Panel Data Kiel Working Papers 10/2010 Download Leonardo Morales-Arias, Alexander Dross This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative... Working Paper A Markov-switching Multifractal Approach to Forecasting Realized Volatility Kiel Working Papers 10/2011 Download 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... Selected Publication Series Kiel Working Papers Kiel Policy Briefs Kiel Institute Economic Outlook Kiel Focus Review of World Economics
Working Paper Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence Kiel Working Papers 01/2010 Download 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...
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...
Working Paper Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations Kiel Working Papers 07/2009 Download 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...
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...
Working Paper A Conditionally Heteroskedastic Global Inflation Model Kiel Working Papers 11/2010 Download Leonardo Morales-Arias, Guilherme V. Moura This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model...
Working Paper An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices Kiel Working Papers 01/2010 Download 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...
Working Paper Adaptive Forecasting of Exchange Rates with Panel Data Kiel Working Papers 10/2010 Download Leonardo Morales-Arias, Alexander Dross This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative...
Working Paper A Markov-switching Multifractal Approach to Forecasting Realized Volatility Kiel Working Papers 10/2011 Download 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...
