Details about Stelios Bekiros
Access statistics for papers by Stelios Bekiros.
Last updated 2023-03-16. Update your information in the RePEc Author Service.
Short-id: pbe357
Jump to Journal Articles Editor
Working Papers
2021
- Synchronization of the glycolysis reaction-diffusion model via linear control law
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
2020
- On the predictability of crude oil market: A hybrid multiscale wavelet approach
Post-Print, HAL View citations (4)
See also Journal Article in Journal of Forecasting (2020)
2019
- Forecasting Volatility in Cryptocurrency Markets
CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
- Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit
Post-Print, HAL View citations (7)
See also Journal Article in Journal of Quantitative Economics (2019)
- Spillover across Eurozone credit market sectors and determinants
Post-Print, HAL View citations (12)
See also Journal Article in Applied Economics (2019)
2018
- A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Post-Print, HAL View citations (17)
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2018)
- Directional predictability and time-varying spillovers between stock markets and economic cycles
Post-Print, HAL View citations (8)
See also Journal Article in Economic Modelling (2018)
- Forecasting Inflation Uncertainty in the G7 Countries
CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster 
See also Journal Article in Econometrics (2018)
- Risk transmitters and receivers in global currency markets
Post-Print, HAL View citations (8)
See also Journal Article in Finance Research Letters (2018)
2017
- Implications for banking stability and welfare under capital shocks and countercyclical requirements
Economics Working Papers, European University Institute
- Mortgage Defaults, Expectation-Driven House Prices and Monetary Policy
Economics Working Papers, European University Institute View citations (1)
- Sovereign Bond Market Dependencies and Crisis Transmission around the Eurozone Debt Crisis: A Dynamic Copula Approach
Working Papers, Department of Research, Ipag Business School 
See also Journal Article in Applied Economics (2018)
- The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations
Working Papers, School of Economics, University College Dublin
2016
- Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Journal of International Money and Finance (2017)
- Chaos in G7 Stock Markets using Over One Century of Data: A Note
Working Papers, University of Pretoria, Department of Economics
- Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs
Working Papers, School of Economics, University College Dublin View citations (11)
Also in Open Access publications, School of Economics, University College Dublin (2016) View citations (11)
See also Journal Article in Journal of Financial Stability (2016)
- Forecasting US GNP Growth: The Role of Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Journal of Forecasting (2018)
- Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article in European Journal of Operational Research (2017)
2015
- A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Applied Economics (2016)
- Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs
Economics Working Papers, European University Institute
- Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis
Working Papers, University of Pretoria, Department of Economics View citations (27)
See also Journal Article in Finance Research Letters (2016)
- Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs
Open Access publications, School of Economics, University College Dublin View citations (11)
See also Journal Article in Macroeconomic Dynamics (2015)
- Oil Price Forecastability and Economic Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (55)
Also in Open Access publications, School of Economics, University College Dublin (2015) View citations (54) Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (54)
See also Journal Article in Economics Letters (2015)
- On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in The North American Journal of Economics and Finance (2016)
- Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
Working Papers, University of Pretoria, Department of Economics View citations (8)
See also Journal Article in Economics Letters (2015)
- THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD
Working Papers, Eastern Mediterranean University, Department of Economics View citations (13)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (38)
See also Journal Article in Empirical Economics (2017)
2014
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
Open Access publications, School of Economics, University College Dublin View citations (15)
See also Journal Article in Computational Statistics & Data Analysis (2014)
- Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area
Working Papers, Department of Research, Ipag Business School View citations (4)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
- Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
Working Papers, Department of Research, Ipag Business School View citations (9)
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
Open Access publications, School of Economics, University College Dublin View citations (1)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
- Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model
Working Papers, Department of Research, Ipag Business School View citations (15)
- Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
Working Papers, Department of Research, Ipag Business School View citations (3)
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2013) View citations (6)
See also Journal Article in Journal of Forecasting (2016)
2013
- Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
Working Paper series, Rimini Centre for Economic Analysis
- Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets
Working Paper series, Rimini Centre for Economic Analysis View citations (13)
- On the predictability of time-varying VAR and DSGE models
Open Access publications, School of Economics, University College Dublin View citations (16)
Also in Open Access publications, School of Economics, University College Dublin (2013) View citations (16)
See also Journal Article in Empirical Economics (2013)
2011
- Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics
Economics Working Papers, European University Institute 
See also Journal Article in Journal of Banking & Finance (2014)
- Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs
ERSA conference papers, European Regional Science Association View citations (5)
- Nonlinear causality testing with stepwise multivariate filtering
Economics Working Papers, European University Institute View citations (2)
- The Multiscale Causal Dynamics of Foreign Exchange Markets
Economics Working Papers, European University Institute 
See also Journal Article in Journal of International Money and Finance (2013)
2009
- Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
2007
- The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (2)
See also Journal Article in Journal of Macroeconomics (2008)
- The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (3)
See also Journal Article in Energy Economics (2008)
2006
- Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 
See also Journal Article in Journal of Forecasting (2008)
- Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)
Journal Articles
2022
- Complexity measures of high oscillations in phonocardiogram as biomarkers to distinguish between normal heart sound and pathological murmur
Chaos, Solitons & Fractals, 2022, 154, (C)
- Deep learning systems for automatic diagnosis of infant cry signals
Chaos, Solitons & Fractals, 2022, 154, (C)
- Intelligent parameter identification and prediction of variable time fractional derivative and application in a symmetric chaotic financial system
Chaos, Solitons & Fractals, 2022, 154, (C) View citations (2)
- Optimal Reinforcement Learning-Based Control Algorithm for a Class of Nonlinear Macroeconomic Systems
Mathematics, 2022, 10, (3), 1-13 View citations (1)
2021
- A fractional-order SIRD model with time-dependent memory indexes for encompassing the multi-fractional characteristics of the COVID-19
Chaos, Solitons & Fractals, 2021, 143, (C) View citations (4)
- A novel fuzzy mixed H2/H∞ optimal controller for hyperchaotic financial systems
Chaos, Solitons & Fractals, 2021, 146, (C) View citations (5)
- Artificial macro-economics: A chaotic discrete-time fractional-order laboratory model
Chaos, Solitons & Fractals, 2021, 145, (C) View citations (5)
- Characterization of infant healthy and pathological cry signals in cepstrum domain based on approximate entropy and correlation dimension
Chaos, Solitons & Fractals, 2021, 143, (C) View citations (2)
- Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets
Computational Economics, 2021, 58, (4), 1289-1299
- Deep recurrent neural networks with finite-time terminal sliding mode control for a chaotic fractional-order financial system with market confidence
Chaos, Solitons & Fractals, 2021, 146, (C) View citations (7)
- Discrete-time macroeconomic system: Bifurcation analysis and synchronization using fuzzy-based activation feedback control
Chaos, Solitons & Fractals, 2021, 142, (C) View citations (4)
- Multivariate time-varying parameter modelling for stock markets
Empirical Economics, 2021, 61, (2), 947-972
- On chaos and projective synchronization of a fractional difference map with no equilibria using a fuzzy-based state feedback control
Physica A: Statistical Mechanics and its Applications, 2021, 578, (C) View citations (1)
- On the development of variable-order fractional hyperchaotic economic system with a nonlinear model predictive controller
Chaos, Solitons & Fractals, 2021, 144, (C) View citations (12)
- The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
Chaos, Solitons & Fractals, 2021, 151, (C) View citations (4)
- Understanding the credit cycle and business cycle dynamics in India
International Review of Economics & Finance, 2021, 76, (C), 988-1006 View citations (1)
2020
- A fractional-order hyper-chaotic economic system with transient chaos
Chaos, Solitons & Fractals, 2020, 130, (C) View citations (24)
- A new forecasting model with wrapper-based feature selection approach using multi-objective optimization technique for chaotic crude oil time series
Energy, 2020, 212, (C) View citations (82)
- A tale of two shocks: The dynamics of international real estate markets
International Journal of Finance & Economics, 2020, 25, (1), 3-27
- Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets
Chaos, Solitons & Fractals, 2020, 131, (C) View citations (7)
- Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
Computational Economics, 2020, 56, (2), 529-545 View citations (4)
- Expectation-driven house prices and debt defaults: The effectiveness of monetary and macroprudential policies
Journal of Financial Stability, 2020, 49, (C) View citations (1)
- Forecasting volatility in bitcoin market
Annals of Finance, 2020, 16, (3), 435-462 View citations (3)
- Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market
Chaos, Solitons & Fractals, 2020, 133, (C) View citations (6)
- King algorithm: A novel optimization approach based on variable-order fractional calculus with application in chaotic financial systems
Chaos, Solitons & Fractals, 2020, 132, (C) View citations (14)
- Multi-fluctuation nonlinear patterns of European financial markets based on adaptive filtering with application to family business, green, Islamic, common stocks, and comparison with Bitcoin, NASDAQ, and VIX
Physica A: Statistical Mechanics and its Applications, 2020, 538, (C) View citations (9)
- Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison
Physica A: Statistical Mechanics and its Applications, 2020, 539, (C) View citations (5)
- On the predictability of crude oil market: A hybrid multiscale wavelet approach
Journal of Forecasting, 2020, 39, (4), 599-614 View citations (4)
See also Working Paper (2020)
- Optimal policies for control of the novel coronavirus disease (COVID-19) outbreak
Chaos, Solitons & Fractals, 2020, 136, (C) View citations (13)
- Performance assessment of ensemble learning systems in financial data classification
Intelligent Systems in Accounting, Finance and Management, 2020, 27, (1), 3-9 View citations (7)
- Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic
Chaos, Solitons & Fractals, 2020, 139, (C) View citations (7)
- Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis
Forecasting, 2020, 2, (2), 1-28 View citations (2)
- SBDiEM: A new mathematical model of infectious disease dynamics
Chaos, Solitons & Fractals, 2020, 136, (C) View citations (10)
- Spillovers across European sovereign credit markets and role of surprise and uncertainty
Applied Economics, 2020, 52, (8), 851-865 View citations (3)
- Synchronization of fractional time-delayed financial system using a novel type-2 fuzzy active control method
Chaos, Solitons & Fractals, 2020, 136, (C) View citations (14)
- The effect of market confidence on a financial system from the perspective of fractional calculus: Numerical investigation and circuit realization
Chaos, Solitons & Fractals, 2020, 140, (C) View citations (11)
- The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets
Chaos, Solitons & Fractals, 2020, 138, (C) View citations (50)
- The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach
Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 23
2019
- A financial hyperchaotic system with coexisting attractors: Dynamic investigation, entropy analysis, control and synchronization
Chaos, Solitons & Fractals, 2019, 126, (C), 66-77 View citations (26)
- Analysing the systemic risk of Indian banks
Economics Letters, 2019, 176, (C), 103-108 View citations (10)
- Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
Quantitative Finance, 2019, 19, (9), 1569-1577 View citations (9)
- Cryptocurrency forecasting with deep learning chaotic neural networks
Chaos, Solitons & Fractals, 2019, 118, (C), 35-40 View citations (51)
- Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches
Computational Economics, 2019, 54, (2), 647-667
- Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering
Chaos, Solitons & Fractals, 2019, 127, (C), 334-341 View citations (8)
- Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques
Chaos, Solitons & Fractals, 2019, 126, (C), 325-336 View citations (64)
- Enhancing the predictability of crude oil markets with hybrid wavelet approaches
Economics Letters, 2019, 182, (C), 50-54 View citations (6)
- Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit
Journal of Quantitative Economics, 2019, 17, (4), 885-912 View citations (7)
See also Working Paper (2019)
- Is anti-herding behavior spurious?
Finance Research Letters, 2019, 29, (C), 379-383
- On the pricing of exotic options: A new closed-form valuation approach
Chaos, Solitons & Fractals, 2019, 122, (C), 153-162
- Spillover across Eurozone credit market sectors and determinants
Applied Economics, 2019, 51, (59), 6333-6349 View citations (12)
See also Working Paper (2019)
- Tail-Related Risk Measurement and Forecasting in Equity Markets
Computational Economics, 2019, 53, (2), 783-816 View citations (3)
- The high frequency multifractal properties of Bitcoin
Physica A: Statistical Mechanics and its Applications, 2019, 520, (C), 62-71 View citations (22)
2018
- A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Journal of International Financial Markets, Institutions and Money, 2018, 56, (C), 104-127 View citations (17)
See also Working Paper (2018)
- Asymmetric linkages among the fear index and emerging market volatility indices
Emerging Markets Review, 2018, 37, (C), 17-31 View citations (26)
- Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare
Journal of Economic Dynamics and Control, 2018, 93, (C), 315-331 View citations (9)
- Chaos, randomness and multi-fractality in Bitcoin market
Chaos, Solitons & Fractals, 2018, 106, (C), 28-34 View citations (74)
- Directional predictability and time-varying spillovers between stock markets and economic cycles
Economic Modelling, 2018, 69, (C), 301-312 View citations (10)
See also Working Paper (2018)
- Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
Annals of Operations Research, 2018, 262, (2), 307-333 View citations (5)
- Forecasting Inflation Uncertainty in the G7 Countries
Econometrics, 2018, 6, (2), 1-25 
See also Working Paper (2018)
- Forecasting US GNP growth: The role of uncertainty
Journal of Forecasting, 2018, 37, (5), 541-559 View citations (9)
See also Working Paper (2016)
- Long-range memory, distributional variation and randomness of bitcoin volatility
Chaos, Solitons & Fractals, 2018, 107, (C), 43-48 View citations (59)
- Modelling volatility persistence under stochasticity assumptions: evidence from common and alternative investments
Chaos, Solitons & Fractals, 2018, 114, (C), 158-163 View citations (3)
- Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches
Computational Economics, 2018, 52, (2), 521-530
- Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
International Review of Financial Analysis, 2018, 55, (C), 140-155 View citations (3)
- PITFALLS IN CROSS‐SECTION STUDIES WITH INTEGRATED REGRESSORS: A SURVEY AND NEW DEVELOPMENTS
Journal of Economic Surveys, 2018, 32, (4), 1045-1073 View citations (2)
- Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
International Review of Financial Analysis, 2018, 59, (C), 179-211 View citations (14)
- Revisiting the three factor model in light of circular behavioural simultaneities
Review of Behavioral Finance, 2018, 10, (3), 210-230
- Risk perception in financial markets: On the flip side
International Review of Financial Analysis, 2018, 57, (C), 184-206 View citations (6)
- Risk transmitters and receivers in global currency markets
Finance Research Letters, 2018, 25, (C), 1-9 View citations (5)
See also Working Paper (2018)
- Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach
Applied Economics, 2018, 50, (47), 5031-5049 View citations (6)
See also Working Paper (2017)
- The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis
Physica A: Statistical Mechanics and its Applications, 2018, 495, (C), 30-39 View citations (27)
- Time-dependent complexity measurement of causality in international equity markets: A spatial approach
Chaos, Solitons & Fractals, 2018, 116, (C), 215-219 View citations (7)
- Time-varying self-similarity in alternative investments
Chaos, Solitons & Fractals, 2018, 111, (C), 1-5 View citations (7)
2017
- Black swan events and safe havens: The role of gold in globally integrated emerging markets
Journal of International Money and Finance, 2017, 73, (PB), 317-334 View citations (72)
See also Working Paper (2016)
- Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain
Physica A: Statistical Mechanics and its Applications, 2017, 486, (C), 947-955 View citations (11)
- Disturbances and complexity in volatility time series
Chaos, Solitons & Fractals, 2017, 105, (C), 38-42 View citations (14)
- Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets
International Review of Finance, 2017, 17, (1), 155-162 View citations (9)
- Herding behavior, market sentiment and volatility: Will the bubble resume?
The North American Journal of Economics and Finance, 2017, 42, (C), 107-131 View citations (29)
- Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
European Journal of Operational Research, 2017, 256, (3), 945-961 View citations (56)
See also Working Paper (2016)
- Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 12 View citations (2)
- Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach
Review of Behavioral Economics, 2017, 4, (2), 83-106 View citations (1)
- The asymmetric relationship between returns and implied volatility: Evidence from global stock markets
Journal of Financial Stability, 2017, 30, (C), 156-174 View citations (18)
- The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
Empirical Economics, 2017, 53, (3), 879-889 View citations (83)
See also Working Paper (2015)
2016
- A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices
Applied Economics, 2016, 48, (31), 2895-2898 View citations (13)
See also Working Paper (2015)
- Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs
Journal of Financial Stability, 2016, 26, (C), 216-227 View citations (11)
See also Working Paper (2016)
- Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach
Economic Modelling, 2016, 58, (C), 580-587 View citations (3)
- Impact of speculation and economic uncertainty on commodity markets
International Review of Financial Analysis, 2016, 43, (C), 115-127 View citations (67)
- Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
Finance Research Letters, 2016, 18, (C), 291-296 View citations (59)
See also Working Paper (2015)
- On economic uncertainty, stock market predictability and nonlinear spillover effects
The North American Journal of Economics and Finance, 2016, 36, (C), 184-191 View citations (41)
See also Working Paper (2015)
- On the time scale behavior of equity-commodity links: Implications for portfolio management
Journal of International Financial Markets, Institutions and Money, 2016, 41, (C), 30-46 View citations (36)
- Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
Journal of Forecasting, 2016, 35, (7), 613-632 View citations (3)
See also Working Paper (2014)
2015
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 609-624 View citations (20)
See also Working Paper (2014)
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (2), 107-136 View citations (4)
See also Working Paper (2014)
- Heuristic learning in intraday trading under uncertainty
Journal of Empirical Finance, 2015, 30, (C), 34-49 View citations (3)
- MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS
Macroeconomic Dynamics, 2015, 19, (7), 1565-1592 View citations (11)
See also Working Paper (2015)
- Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
Resources Policy, 2015, 46, (P2), 1-11 View citations (28)
- Oil price forecastability and economic uncertainty
Economics Letters, 2015, 132, (C), 125-128 View citations (54)
See also Working Paper (2015)
- Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
Economics Letters, 2015, 131, (C), 83-85 View citations (8)
See also Working Paper (2015)
2014
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
Computational Statistics & Data Analysis, 2014, 71, (C), 298-323 View citations (18)
See also Working Paper (2014)
- Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
International Review of Financial Analysis, 2014, 33, (C), 58-69 View citations (81)
- Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics
Journal of Banking & Finance, 2014, 39, (C), 117-134 View citations (19)
See also Working Paper (2011)
- Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area
Economic Modelling, 2014, 38, (C), 619-626 View citations (10)
- Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets
The North American Journal of Economics and Finance, 2014, 29, (C), 336-348 View citations (6)
- Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform
Computational Economics, 2014, 44, (2), 231-251 View citations (6)
2013
- Irrational fads, short-term memory emulation, and asset predictability
Review of Financial Economics, 2013, 22, (4), 213-219 View citations (8)
Also in Review of Financial Economics, 2013, 22, (4), 213-219 (2013)
- On the predictability of time-varying VAR and DSGE models
Empirical Economics, 2013, 45, (1), 635-664 View citations (20)
See also Working Paper (2013)
- The multiscale causal dynamics of foreign exchange markets
Journal of International Money and Finance, 2013, 33, (C), 282-305 View citations (41)
See also Working Paper (2011)
2010
- Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets
European Journal of Operational Research, 2010, 202, (1), 285-293 View citations (12)
- Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach
Journal of Economic Dynamics and Control, 2010, 34, (6), 1153-1170 View citations (16)
2009
- A robust algorithm for parameter estimation in smooth transition autoregressive models
Economics Letters, 2009, 103, (1), 36-38 View citations (4)
2008
- Direction-of-change forecasting using a volatility-based recurrent neural network
Journal of Forecasting, 2008, 27, (5), 407-417 View citations (11)
See also Working Paper (2006)
- Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index
The European Journal of Finance, 2008, 14, (5), 397-408 View citations (3)
- The extreme-value dependence of Asia-Pacific equity markets
Journal of Multinational Financial Management, 2008, 18, (3), 197-208 View citations (8)
- The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing
Journal of Macroeconomics, 2008, 30, (4), 1641-1650 View citations (33)
See also Working Paper (2007)
- The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
Energy Economics, 2008, 30, (5), 2673-2685 View citations (192)
See also Working Paper (2007)
2007
- A neurofuzzy model for stock market trading
Applied Economics Letters, 2007, 14, (1), 53-57 View citations (3)
- Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus
Applied Financial Economics, 2007, 18, (3), 239-254 View citations (6)
2005
- Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
Journal of International Financial Markets, Institutions and Money, 2005, 15, (3), 209-228 View citations (24)
Editor
- Chaos, Solitons & Fractals
Elsevier
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|