Monetary Economics and International Finance

Submitted by Thomas Lux on Mon, 09/11/2023 - 08:21
University
Kiel University
Faculty/school/department
The Faculty of Business, Economics and Social Sciences
Size of the team
number of researchers number of supporting staff number of PhD students
5
4
10
PI
PI name
Thomas Lux
PI email
lux@economics.uni-kiel.de
PI bio

Prof. Thomas Lux

  • Current Position: Professor of Monetary Economics and International Finance, Department of Economics, University of Kiel, Germany.
  • Address:
    Office: Department of Economics, University of Kiel
    Olshausenstr. 40, 24118 Kiel, Germany
    Tel: 49-431-880-3661, Fax: 49-431-880-4383
  • Education:
    Habilitation Department of Economics, University of Bamberg, 1996
    Ph.D. Department of Economics, University of Wuerzburg, 1990
    Diploma in Economics Department of Economics, University of Wuerzburg, 1987

 

Contact person and e-mail
Contact person
Thomas Lux
Contact person e-mail
lux@economics.uni-kiel.de
WWW
https://www.gwif.vwl.uni-kiel.de/en
Short description of research profile

The group's research covers a wide range of topics, with particular emphasis on financial economics, money and banking, econophysics, the application of agent-based models, networks, and multifractal models in the fields of economics and finance.

Research area
SOCIAL SCIENCES » Economics and business
Scientific Themes (keywords)
Financial Economics
Financial Derivatives
Money and Banking
Econophysics
Agent-Based Models
Networks and Economics
Multifractal Models
Publications

Representative publications

“Peer Effects in Professional Analysts’ Choice of their Portfolio of Companies” (with L. Honvehlmann and V. Fang), Quantitative Finance (in press). https://doi.org/10.1080/14697688.2022.2119881  
“Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatility” (with C. Sattarhoff), International Journal of Forecasting (in press). https://doi.org/10.1016/j.ijforecast.2022.08.009
“Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov- Switching Multifractal Models”, Econometrics and Statistics 21, 2022, 69–95. https://doi.org/10.1016/j.ecosta.2020.03.001  
“Multilayer Overlaps and Correlations in the Bank-Firm Credit Network of Spain” (with D. Luu), Quantitative Finance 19, 2019, 1953–1974. https://doi.org/10.1080/14697688.2019.1620318    
“Estimation of Agent-Based Models using Sequential Monte Carlo Methods”, Journal of Economic Dynamics & Control 91, 2018, 391–408. https://doi.org/10.1016/j.jedc.2018.01.021

Link to extended list of publication

https://www.gwif.vwl.uni-kiel.de/en/team/reserach-team/prof-dr-thomas-lux/CV-en…