Listar por autoría "6f905ad1-b0a8-417d-bf36-b6b8f29de917"
Mostrando ítems 1-5 de 5
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Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
Montagna, Mattia; Lux, Thomas Taylor & Francis (2016)One lesson of the financial crisis erupting in 2008 has been that domino effects constitute a serious threat to the stability of the financial sector, i.e. the failure of one node in the interbank network might entail ... -
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas Elsevier (2015-03)This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing ... -
Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, Rangan Elsevier (2016)The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at ... -
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan Elsevier (2017)The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of emissions ... -
The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel; Lux, Thomas Springer (2015-04)We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the ...