Contact information of Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents
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Content
2016
- 68 Herding, minority game, market clearing and efficient markets in a simple spin model framework
by Kristoufek, Ladislav & Vošvrda, Miloslav S.
- 67 Borrower heterogeneity within a risky mortgage-lending market
by Punzi, Maria Teresa & Rabitsch, Katrin
- 66 Regimes dependent speculative trading: Evidence from the United States housing market
by Chen, Zhenxi
- 65 Monetary policy and large crises in a financial accelerator agent-based model
by Giri, Federico & Riccetti, Luca & Russo, Alberto & Gallegati, Mauro
- 64 Buffer stock savings in a New-Keynesian business cycle model
by Rabitsch, Katrin & Schoder, Christian
- 63 Estimation of financial agent-based models with simulated maximum likelihood
by Kukacka, Jiri & Barunik, Jozef
- 62 Network effects and systemic risk in the banking sector
by Lux, Thomas
- 61 Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises
by Punzi, Maria Teresa
- 60 A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles
by Yanovski, Boyan
- 59 The core of the global corporate network
by Giglio, Ricardo & Lux, Thomas
- 58 International housing markets, unconventional monetary policy and the zero lower bound
by Huber, Florian & Punzi, Maria Teresa
- 57 Dynamics of the European sovereign bonds and the identification of crisis periods
by Chen, Zhenxi & Reitz, Stefan
- 56 Fiscal policy and the term structure of interest rates in a DSGE model
by Marsal, Ales & Kaszab, Lorant & Horvath, Roman
- 55 Modeling and forecasting exchange rate volatility in time-frequency domain
by Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas
- 54 Measuring the frequency dynamics of financial and macroeconomic connectedness
by Barunik, Jozef & Krehlik, Tomas
- 53 An incomplete markets explanation of the UIP puzzle
by Rabitsch, Katrin
- 52 Monetary transmission under competing corporate finance regimes
by De Grauwe, Paul & Gerba, Eddie
2015
- 51 The tale of two great crises
by Fratianni, Michele & Giri, Federico
- 50 Multi-country decentralized agent based model: Macroeconomic dynamics and vulnerability in a simplified currency union
by Catullo, Ermanno & Gallegati, Mauro
- 49 On the long-run equilibrium value of Tobin's average Q
by Franke, Rainer & Yanovski, Boyan
- 48 Estimating heterogeneous agents behavior in a two-market financial system
by Chen, Zhenxi & Huang, Weihong & Zheng, Huanhuan
- 47 From banks' strategies to financial (in)stability
by Berardi, Simone & Tedeschi, Gabriele
- 46 Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
by Segnon, Mawuli & Lux, Thomas & Gupta, Rangan
- 45 Stock market cycles and supply side dynamics
by de Grauwe, Paul & Gerba, Eddie
- 44 Time-scale analysis of sovereign bonds market co-movement in the EU
by Smolik, Filip & Vacha, Lukas
- 43 Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression
by Barunik, Jozef & Barunikova, Michaela
- 42 Business cycle synchronization of the Visegrad Four and the European Union
by Hanus, Lubos & Vacha, Lukas
- 41 Testing the global banking glut hypothesis
by Kauko, Karlo & Punzi, Maria Teresa
- 40 Forecaster overconfidence and market survey performance
by Deaves, Richard & Lei, Jin & Schroeder, Michael
- 39 Systemic risk and macro-prudential policies: A credit network-based approach
by Catullo, Ermanno & Gallegati, Mauro & Palestrini, Antonio
- 38 Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
by Ghonghadze, Jaba & Lux, Thomas
- 37 Estimation of sentiment effects in financial markets: A simulated method of moments approach
by Zhenxi, Chen & Lux, Thomas
- 36 Modeling and forecasting persistent financial durations
by Zikes, Filip & Barunik, Jozef & Shenai, Nikhil
- 35 Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches
by Vakrman, Tomas & Kristoufek, Ladislav
- 34 Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries
by Pavlicek, Jaroslav & Kristoufek, Ladislav
- 33 Estimation of long memory in volatility using wavelets
by Kraicova, Lucie & Barunik, Jozef
- 32 Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
by Avdulaj, Krenar & Barunik, Jozef
- 31 Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
by Lux, Thomas & Segnon, Mawuli & Gupta, Rangan
- 30 Do investors rely too much on public information to be justified by its accuracy? An experimental study
by Alfarano, Simone & Camacho, Eva & Morone, Andrea
- 29 Heteroeneous forecasters and nonlinear expectation formation in US stock market
by Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph
- 28 Market sentiments and the sovereign debt crisis in the Eurozone
by de Grauwe, Paul & Ji, Yuemei
2014
- 27 Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area
by Giri, Federico
- 26 A calibration procedure for analyzing stock price dynamics in an agent-based framework
by Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro
- 25 Bank's strategies during the financial crisis
by Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone
- 24 Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model
by Punzi, Maria Teresa & Rabitsch, Katrin
- 23 What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis
by Kristoufek, Ladislav
- 22 The term structure of interest rates in a small open economy DSGE model with Markov switching
by Horváth, Roman & Maršál, Aleš
- 21 Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market
by Fischer, Thomas & Riedler, Jesper
- 20 Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
by Žikeš, Filip & Baruník, Jozef
- 19 A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion
by Lux, Thomas
- 18 Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
by Kristoufek, Ladislav & Vosvrda, Miloslav
- 17 Leverage effect in energy futures
by Kristoufek, Ladislav
- 16 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
by Baruník, Jozef & Vácha, Lukáš
- 15 Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
by Baruník, Jozef & Kukacka, Jiri
- 14 Gold, Oil, and Stocks
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš
- 13 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
by Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš
- 12 A spectral perspective on excess volatility
by Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico
- 11 Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
by Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph
- 10 House Prices, Capital Inflows and Macroprudential Policy
by Mendicino, Caterina & Punzi, Maria Teresa
- 9 The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches
by Alfarano, Simone & Camacho, Eva & Petrovic, Marko & Provenzano, Giulia
- 8 Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
by Montagna, Mattia & Lux, Thomas
- 7 The Role of a Changing Market Environment for Credit Default Swap Pricing
by Leppin, Julia S. & Reitz, Stefan
- 6 A Two-Period Model with Portfolio Choice: Understanding Results from Different Solution Methods
by Rabitsch, Katrin & Stepanchuk, Serhiy
- 5 Estimating heterogeneous agents behavior with different investment horizons in stock markets
by Chen, Zhenxi
- 4 Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics
by Franke, Reiner & Ghonghadze, Jaba
- 3 Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
by Lux, Thomas
- 2 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
by Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan
- 1 Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
by Finger, Karl & Lux, Thomas
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