1. Rabitsch, K.; Stepanchuk, S. (2014):A two-period model with portfolio choice: Understanding results from different solution methods, Economics Letters 124 (2), pp. 239-242

2. Kauko, K.; Punzi, M. T. (2015). Testing the Global Banking Glut Hypothesis, published in journal: Journal of Financial Stability 19 (2015) pp. 128-151.

3. Rabitsch, K. (2016). An Incomplete Markets Explanation of the UIP Puzzle, published in journal: Review of International Economics, 24(2), May 2016, pp. 442-446.

4. Punzi, M.T, Huber, F. (2016): The shortage of safe assets in the US investment portfolio: Some international evidence, Journal of International Money and Finance forthcoming

5. Kristoufek, L. (2014): Leverage effect in energy futures, Energy Economics 45, pp. 1-9.

6. Kristoufek, L. & Vosvrda, M. (2014): Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, European Physical Journal B 87, art. 162.

7. De Grauwe, P.; Ji, Y. (2014): The Future of the Eurozone, The Manchester School, Vol. 82, pp. 15-34.

8. Barunik, J.; Kukacka, J. (2015): Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility, Quantitative Finance 15 (6), pp. 959-973.

9. Zikes, F.; Barunik, J. (2014): Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility, Journal of Financial Econometrics, 14(1), pp.185-226.

10. Zikes, F.; Barunik, J.; Shenai, N. (2014): Modeling and Forecasting Persistent Financial Durations, Econometric Reviews, doi:10.1080/07474938.2014.977057.

11. Vakrman, T.; Kristoufek, L. (2015): Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, Springer Plus 4 (84), doi:10.1186/s40064-015-0839-4.

12. Lux, T. (2015):Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market", Journal of Economic Dynamics and Control 52, A11-A23.

13. Mendicino, C.; Punzi, M., T. (2014). House Prices, Capital Inflows and Macroprudential Policy, Journal of Banking and Finance 49 (2014), pp. 337–355.

14. Punzi, M.T; Rabitsch, K. (2015). Investor Borrowing Heterogeneity in a Kiyotaki-Moore Style Macro Model, Economics Letters 130, pp. 75-79.

15. Grilli, R.; Tedeschi, G.; Gallegati, M. (2014). Bank interlinkages and macroeconomic stability, International Review of Economics & Finance 34, pp. 72-88.

16. Grilli, R. ; Tedeschi, G. ; Gallegati, M. (2014). Network Approach for Detecting Macroeconomic Instability, 2014 Tenth International Conference on Signal-Image Technology and Internet-Based Systems (SITIS), pp. 440-446.

17. Fischer, T.; Riedler, J. (2014). Prices, debt and market structure in an angent-based model of the financialmarket, Journal of Economic Dynamics and Control 48, pp. 95-120.

18. Pavlicek J, Kristoufek L (2015). Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries. PLoS ONE 10(5): e0127084. doi:10.1371/journal.pone.0127084

19. Kristoufek, L. (2015). What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. doi:10.1371/journal.pone.0123923

20. Fricke, D.; Lux, T. (2015). On the distribution of links in the interbank network: evidence from the e-MID overnight money market. Empirical Economics 49 (4), pp. 1463-1495

21. Reccioni, M.C.; Sun, Y. (2015). An explicitly solvable Heston model with stochastic interest rate. European Journal of Operational Research 249 (1), 16 February 2016, Pages 359–377

22. Barunik, J.; Kocenda, E.; Vacha, L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets 27, pp. 55-78

23. Barunik,J.; Krehlik, T.; Vacha, L. (2016). Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 (1), pp. 329-340

24. Barunik. J.; Vacha, L. (2015). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance 15 (8), pp. 1347-1364

25. Leppin, J.; Reitz, S. (2016).Role of a Changing Market Environment for Credit Default Swap Pricing, International Journal of Finance and Economics 21 (3), pp. 209-223

26. Lux, T. (2016) "A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion", Journal of Economic Dynamics and Control 66, pp. 36-53

27. Ghonghadze, J. and T. Lux (2016) "Bringing an Elementary Agent-Based Model to the Data: Estimation via GMM and an Application to Forecasting of Asset Price Volatility", Journal of Empirical Finance 37, pp.1-19

28. Lux, T. and S. Alfarano (2016). "Financial Power Laws: Empirical Evidence, Models, and Mechanisms", Chaos, Solitons & Fractals 88, pp.3-18

29. Nasr, A.B.; Lux, T.; Ajmi,A.N.; and Gupta, R.(2016). "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching", International Rewiev of Economics & Finance 45, pp.559-571

30. Montagna, M.; Lux, T. (2014): Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information, Quantitative Finance 17 (1), pp. 101-120

31. Lux, T.; Segnon, M.; Gupta, R. (2015): Forecasting Crude Oil Price Volatility. Evidence from Historical and Recent Data, Energy Economics 56, pp. 117–133

32. Chen, Z.; Lux, T. (2015): Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach, Computational Economics 2016, pp. 1–34

33. Segnon, M.; Lux, T.; Gupta, R. (2015): Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility, Renewable & Sustainable Energy Reviews 69, pp. 692-704

34. Barunik, J.; Hlinkova, M. (2015). Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression, Economic Modelling, 54, pp.503-514

35. Kristoufek, L. (2015): Finite sample properties of power-law cross-correlations estimators, Physica A 419, pp. 513-525

36. Kristoufek, L. & Vosvrda, M. (2016): Gold, currencies and market efficiency, Physica A 449, pp. 27-34

37. Kraicova, L.; Barunik, J. (2016). Estimation of Long Memory in Volatility Using Wavelets, Studies in Nonlinear Dynamics & Econometrics (forthcoming)

2. Kauko, K.; Punzi, M. T. (2015). Testing the Global Banking Glut Hypothesis, published in journal: Journal of Financial Stability 19 (2015) pp. 128-151.

3. Rabitsch, K. (2016). An Incomplete Markets Explanation of the UIP Puzzle, published in journal: Review of International Economics, 24(2), May 2016, pp. 442-446.

4. Punzi, M.T, Huber, F. (2016): The shortage of safe assets in the US investment portfolio: Some international evidence, Journal of International Money and Finance forthcoming

5. Kristoufek, L. (2014): Leverage effect in energy futures, Energy Economics 45, pp. 1-9.

6. Kristoufek, L. & Vosvrda, M. (2014): Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, European Physical Journal B 87, art. 162.

7. De Grauwe, P.; Ji, Y. (2014): The Future of the Eurozone, The Manchester School, Vol. 82, pp. 15-34.

8. Barunik, J.; Kukacka, J. (2015): Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility, Quantitative Finance 15 (6), pp. 959-973.

9. Zikes, F.; Barunik, J. (2014): Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility, Journal of Financial Econometrics, 14(1), pp.185-226.

10. Zikes, F.; Barunik, J.; Shenai, N. (2014): Modeling and Forecasting Persistent Financial Durations, Econometric Reviews, doi:10.1080/07474938.2014.977057.

11. Vakrman, T.; Kristoufek, L. (2015): Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, Springer Plus 4 (84), doi:10.1186/s40064-015-0839-4.

12. Lux, T. (2015):Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market", Journal of Economic Dynamics and Control 52, A11-A23.

13. Mendicino, C.; Punzi, M., T. (2014). House Prices, Capital Inflows and Macroprudential Policy, Journal of Banking and Finance 49 (2014), pp. 337–355.

14. Punzi, M.T; Rabitsch, K. (2015). Investor Borrowing Heterogeneity in a Kiyotaki-Moore Style Macro Model, Economics Letters 130, pp. 75-79.

15. Grilli, R.; Tedeschi, G.; Gallegati, M. (2014). Bank interlinkages and macroeconomic stability, International Review of Economics & Finance 34, pp. 72-88.

16. Grilli, R. ; Tedeschi, G. ; Gallegati, M. (2014). Network Approach for Detecting Macroeconomic Instability, 2014 Tenth International Conference on Signal-Image Technology and Internet-Based Systems (SITIS), pp. 440-446.

17. Fischer, T.; Riedler, J. (2014). Prices, debt and market structure in an angent-based model of the financialmarket, Journal of Economic Dynamics and Control 48, pp. 95-120.

18. Pavlicek J, Kristoufek L (2015). Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries. PLoS ONE 10(5): e0127084. doi:10.1371/journal.pone.0127084

19. Kristoufek, L. (2015). What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. doi:10.1371/journal.pone.0123923

20. Fricke, D.; Lux, T. (2015). On the distribution of links in the interbank network: evidence from the e-MID overnight money market. Empirical Economics 49 (4), pp. 1463-1495

21. Reccioni, M.C.; Sun, Y. (2015). An explicitly solvable Heston model with stochastic interest rate. European Journal of Operational Research 249 (1), 16 February 2016, Pages 359–377

22. Barunik, J.; Kocenda, E.; Vacha, L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets 27, pp. 55-78

23. Barunik,J.; Krehlik, T.; Vacha, L. (2016). Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 (1), pp. 329-340

24. Barunik. J.; Vacha, L. (2015). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance 15 (8), pp. 1347-1364

25. Leppin, J.; Reitz, S. (2016).Role of a Changing Market Environment for Credit Default Swap Pricing, International Journal of Finance and Economics 21 (3), pp. 209-223

26. Lux, T. (2016) "A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion", Journal of Economic Dynamics and Control 66, pp. 36-53

27. Ghonghadze, J. and T. Lux (2016) "Bringing an Elementary Agent-Based Model to the Data: Estimation via GMM and an Application to Forecasting of Asset Price Volatility", Journal of Empirical Finance 37, pp.1-19

28. Lux, T. and S. Alfarano (2016). "Financial Power Laws: Empirical Evidence, Models, and Mechanisms", Chaos, Solitons & Fractals 88, pp.3-18

29. Nasr, A.B.; Lux, T.; Ajmi,A.N.; and Gupta, R.(2016). "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching", International Rewiev of Economics & Finance 45, pp.559-571

30. Montagna, M.; Lux, T. (2014): Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information, Quantitative Finance 17 (1), pp. 101-120

31. Lux, T.; Segnon, M.; Gupta, R. (2015): Forecasting Crude Oil Price Volatility. Evidence from Historical and Recent Data, Energy Economics 56, pp. 117–133

32. Chen, Z.; Lux, T. (2015): Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach, Computational Economics 2016, pp. 1–34

33. Segnon, M.; Lux, T.; Gupta, R. (2015): Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility, Renewable & Sustainable Energy Reviews 69, pp. 692-704

34. Barunik, J.; Hlinkova, M. (2015). Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression, Economic Modelling, 54, pp.503-514

35. Kristoufek, L. (2015): Finite sample properties of power-law cross-correlations estimators, Physica A 419, pp. 513-525

36. Kristoufek, L. & Vosvrda, M. (2016): Gold, currencies and market efficiency, Physica A 449, pp. 27-34

37. Kraicova, L.; Barunik, J. (2016). Estimation of Long Memory in Volatility Using Wavelets, Studies in Nonlinear Dynamics & Econometrics (forthcoming)

Disclaimer: The views expressed during the execution of the FinMaP project, in whatever form and or by whatever medium, are the sole responsibility of the authors. The European Union is not liable for any use that may be made of the information contained therein

This website is maintained by the Chair of Monetary Economics and International Finance at CAU Kiel.

Grant Agreement No. 612955

FP7 theme: SSH-2013.1.3-2

Project Start: 1 January 2014

Coordinator: Prof. T. Lux

Press Release, 16 January 2014

Agent-Based Economic Modelling:

First Ancona-Milano Summer School on AB Economics

Ancona, 1-5 September 2015