Project funded under the Socio-economic Sciences and Humanities



This project has received funding from the European Union's Seventh Framework Programme for research, technological development and demonstration under grant agreement no. 612955




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)


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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


Financial crisis:
causes, policy responses, future challenges
Outcomes of EU-funded research

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Agent-Based Economic Modelling:

First Ancona-Milano Summer School on AB Economics

Ancona, 1-5 September 2015