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Thomas Lux · Study

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Thomas Lux

13 works· latest 2016· 4 institutionscluster: provisionalORCID 0000-0002-1858-4724

h-index13

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Citations1,252

Works here13

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Most cited in this library

The Financial Crisis and the Systemic Failure of Academic Economics2009 · 269 citations
The Markov-Switching Multifractal Model of Asset Returns2008 · 176 citations
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models2016 · 123 citations
Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data2016 · 111 citations
Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching2007 · 101 citations

Works

13 shown

Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models

Renewable and Sustainable Energy Reviews·2016·2 authors

123citations

Network formation in the interbank money market: An application of the actor-oriented model

Social Networks·2016·2 authors

36citations

Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching

International Review of Economics & Finance·2016·4 authors

65citations

Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information

Quantitative Finance·2016·2 authors·Open access

44citations

Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data

Energy Economics·2016·2 authors

111citations

A model of the topology of the bank – firm credit network and its role as channel of contagion

Journal of Economic Dynamics and Control·2016·1 author·Open access

85

citations

Emergence of a core-periphery structure in a simple dynamic model of the interbank market

Journal of Economic Dynamics and Control·2014·1 author·Open access

80citations

Evolvement of Uniformity and Volatility in the Stressed Global Financial Village

PLoS ONE·2012·4 authors·Open access

80citations

Forecasting volatility under fractality, regime-switching, long memory and student- innovations

Computational Statistics & Data Analysis·2010·2 authors

46citations

The Financial Crisis and the Systemic Failure of Academic Economics

SSRN Electronic Journal·2009·8 authors·preprint·Open access

269citations

The Markov-Switching Multifractal Model of Asset Returns

Journal of Business and Economic Statistics·2008·1 author

176citations

Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching

Journal of Economic Dynamics and Control·2007·2 authors·Open access

101citations

The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting

RePEc: Research Papers in Economics·2003·1 author·preprint·Open access

36citations