Lehrstuhl für Geld, Währung und Internationale Finanzmärkte

Reiner Franke and Jaba Ghonghadze, "Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics", May 2014
Reiner Franke, "How Fat-Tailed is US Output Growth?", September 2013.
Reiner Franke, "Aggregate Sentiment Dynamics: A Canonical Modelling Approach and its Pleasant Nonlinearities", December 2013.
Reiner Franke, "How Non-Normal is US Output?", January 2013
Reiner Franke: US quarterly macro data and covariances for 3-eqs model (GDP and firm sector data; zipped text files)
Reiner Franke, "Competitive Moment Matching of a New-Keynesian and an Old-Keynesian Model", May 2012 (zipped pdf file).
Reiner Franke and Frank Westerhoff, "Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation", December 2011.
Reiner Franke, "How Much Backward-Looking is the New-Keynesian Three-Equations Model? Evidence From Moment Matching Estimations", October 2012.
Reiner Franke, Tae-Seok Jang and Stephen Sacht, "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in the New-Keynesian Three-Equations Model", August 2012.
Reiner Franke: Quarterly data for US output, inflation and interest rate (HP-detrended; zipped text files)
Reiner Franke and Frank Westerhoff, "Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest", February 2011
Reiner Franke, "Microfounded Animal Spirits in the New Macroeconomic Consensus", Sept. 2010.
Reiner Franke and Stephen Sacht, "Some observations in the high-frequency versions of a standard New-Keynesian model", February 2010.
Reiner Franke and Frank Westerhoff, Estimation of a Structural Stochastic Volatility Model of Asset Pricing; November 2009.
Reiner Franke and Frank Westerhoff, Validation of a Structural Stochastic Volatility Model of Asset Pricing; September 2009.
Reiner Franke and Frank Westerhoff, Converse Trading Strategies, Intrinsic Noise and the Stylized Facts of Financial Markets; April 2009
Reiner Franke, Applying the Method-of-Simulated Moments to Estimate a Small Agent-Based Asset Pricing Model: Extended Version; November 2008
Reiner Franke: "Artificial Long Memory Effects in Two Agent-Based Asset Pricing Models", 2008.
Reiner Franke, "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization", 2008.
Reiner Franke and Peter Flaschel, "A Proof of Determinacy in the New-Keynesian Sticky Wages and Prices Model", May 2009.
Thomas Lux: Stochastic Behavioral Asset Pricing Models and the Stylized Facts, 2008.
Reiner Franke and Toichiro Asada, "Incorporating Positions into Asset Pricing Models With Order-Based Strategies", 2008.
Reiner Franke: "A Prototype Model of Speculative Dynamics With Position-Based Trading: Extended Version" (22 MB!)
Reiner Franke: "Models of Asset Price Dynamics From Beja-Goldman to Brock-Hommes: A Synopsis of Specification Details"
Markus Demary, "A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes", Kiel Working Paper, November 2007.
Thomas Lux: Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effectsin a Business Climate Survey, 2008.
Simone Alfarano und Reiner Franke: A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
Reiner Franke: Microfounded Animal Spirits and Goodwinian Income Distribution Dynamics
Reiner Franke: Estimation of a Microfounded Herding Model On German Survey Expectations
Reiner Franke: Phase Diagram for c.p. Bold-Cautious Dynamics
Reiner Franke: Three-States Animal Spirits in the Goodwin Model
Timur Yusupov and Thomas Lux: The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data, 2007
Simone Alfarano and Mishael Milaković: Does Classical Competition Explain the Statistical Features of Firm Growth? 2007
Simone Alfarano and Mishael Milaković: Should Network Structure Matter in Agent-Based Finance? 2007
Markus Demary, " Transaction Taxes, Traders' Behavior and Exchange Rate Risks", Kiel Working Paper November 2006.
Thomas Lux, S. Alfarano, F. Wagner: Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model
Thomas Lux, S. Alfarano: A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory.
Thomas Lux and Taisei Kaizoji: Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching, 2006
Thomas Lux: Financial Power Laws: Empirical Evidence, Models, and Mechanism, 2006
Thomas Lux: Applications of Statistical Physics in Finance and Economics, 2006
S. Alfarano, T. Lux, F. Wagner: Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach, 2005
Thomas Lux: The Markov-Switching Multi-Fractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility, 2006
Simone Alfarano and Thomas Lux: Extreme Value Thoery as a Theoretical Background for Power Law Bahavior.
T. Lux, E. samanidou, E. Zschischang und D. Stauffer: "Microscopic Models of Financial Markets", 2006
Thomas Lux: The Multi-Fractal Model of Asset Returns. Its Estimation via GMM and Its Use for Volatility Forecasting, University of Kiel, February 2003.
Thomas Lux and Sascha Schornstein: Genetic learning as an Explanation of Stylized Facts of Foreign Exchange Markets, University of Kiel, London School of Economics, 2002, revision: February 2003
Thomas Lux: Multi-Scaling Properties of Asset Returns: An Assessment of the Power of the Scaling Estimator, University of Kiel, March 2003
Simone Alfarano and Thomas Lux: A Minimal Noise Trader Model with Realistic Time Series Properties, University of Kiel, December 2002
Simone Alfarano, F. Wagner and Thomas Lux: 'Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model', University of Kiel, July 2004, submitted to Computational Economics
Thomas Lux: The Multi-Fractal Model of Asset Returns. Its Estimation via GMM and Its Use for Volatility Forecasting, University of Kiel, February 2003. Appendix
Reiner Franke, "Can Monetary Policy Tame Harrodian Instability?", June 2015.
Reiner Franke, "A Supplementary Note on Professor Hein’s (2013) Version of a Kaleckian Debt Accumulation", April 2015.
Reiner Franke and Boyan Yanovski, "On the Equilibrium Value of Tobin’s Q in a Post-Keynesian Framework", May 2015.
Reiner Franke, "A Simple Approach to Overcome the Problems From the Keynesian Stability Condition", September 2015