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Details about Stelios Bekiros

Workplace:Athens University of Economics and Business (AUEB), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)
Department of Economics, European University Institute, (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)
ifo Institut - Leibniz-Institut für Wirtschaftsforschung an der Universität München e.V. (Ifo Institute for Economic Research at the University of Munich), (more information at EDIRC)

Access statistics for papers by Stelios Bekiros.

Last updated 2019-02-06. Update your information in the RePEc Author Service.

Short-id: pbe357


Jump to Journal Articles

Working Papers

2018

  1. A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
    Post-Print, HAL
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2018)
  2. Directional predictability and time-varying spillovers between stock markets and economic cycles
    Post-Print, HAL
    See also Journal Article in Economic Modelling (2018)
  3. Forecasting Inflation Uncertainty in the G7 Countries
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster Downloads
    See also Journal Article in Econometrics (2018)
  4. Risk transmitters and receivers in global currency markets
    Post-Print, HAL
    See also Journal Article in Finance Research Letters (2018)

2017

  1. Implications for banking stability and welfare under capital shocks and countercyclical requirements
    Economics Working Papers, European University Institute Downloads
  2. 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 Downloads

2016

  1. Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of International Money and Finance (2017)
  2. Chaos in G7 Stock Markets using Over One Century of Data: A Note
    Working Papers, University of Pretoria, Department of Economics
  3. 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 Downloads View citations (1)
    Also in Open Access publications, School of Economics, University College Dublin (2016) Downloads View citations (1)

    See also Journal Article in Journal of Financial Stability (2016)
  4. Forecasting US GNP Growth: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  5. Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in European Journal of Operational Research (2017)

2015

  1. A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2016)
  2. Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Finance Research Letters (2016)
  3. 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 Downloads View citations (3)
    See also Journal Article in Macroeconomic Dynamics (2015)
  4. Oil Price Forecastability and Economic Uncertainty
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (19)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (21)
    Open Access publications, School of Economics, University College Dublin (2015) Downloads View citations (19)

    See also Journal Article in Economics Letters (2015)
  5. On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The North American Journal of Economics and Finance (2016)
  6. Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Economics Letters (2015)
  7. 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 Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (8)

    See also Journal Article in Empirical Economics (2017)

2014

  1. Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
    Open Access publications, School of Economics, University College Dublin Downloads View citations (8)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  2. 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 Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  3. Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
    Working Papers, Department of Research, Ipag Business School Downloads View citations (9)
  4. 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 Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  5. Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model
    Working Papers, Department of Research, Ipag Business School Downloads View citations (15)
  6. Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2013) Downloads View citations (6)

    See also Journal Article in Journal of Forecasting (2016)

2013

  1. Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
    Working Paper series, Rimini Centre for Economic Analysis Downloads
  2. Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (6)
  3. On the predictability of time-varying VAR and DSGE models
    Open Access publications, School of Economics, University College Dublin Downloads View citations (6)
    Also in Open Access publications, School of Economics, University College Dublin (2013) Downloads View citations (6)

    See also Journal Article in Empirical Economics (2013)

2011

  1. Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics
    Economics Working Papers, European University Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2014)
  2. Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs
    ERSA conference papers, European Regional Science Association Downloads View citations (3)
  3. Nonlinear causality testing with stepwise multivariate filtering
    Economics Working Papers, European University Institute Downloads View citations (2)
  4. The Multiscale Causal Dynamics of Foreign Exchange Markets
    Economics Working Papers, European University Institute Downloads
    See also Journal Article in Journal of International Money and Finance (2013)

2009

  1. 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 Downloads

2007

  1. 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 Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2008)
  2. 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 Downloads View citations (1)
    See also Journal Article in Energy Economics (2008)

2006

  1. 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 Downloads
    See also Journal Article in Journal of Forecasting (2008)
  2. 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 Downloads View citations (1)

Journal Articles

2018

  1. 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 Downloads
    See also Working Paper (2018)
  2. Asymmetric linkages among the fear index and emerging market volatility indices
    Emerging Markets Review, 2018, 37, (C), 17-31 Downloads View citations (1)
  3. Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare
    Journal of Economic Dynamics and Control, 2018, 93, (C), 315-331 Downloads
  4. Directional predictability and time-varying spillovers between stock markets and economic cycles
    Economic Modelling, 2018, 69, (C), 301-312 Downloads View citations (1)
    See also Working Paper (2018)
  5. Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
    Annals of Operations Research, 2018, 262, (2), 307-333 Downloads
  6. Forecasting Inflation Uncertainty in the G7 Countries
    Econometrics, 2018, 6, (2), 1-25 Downloads
    See also Working Paper (2018)
  7. Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches
    Computational Economics, 2018, 52, (2), 521-530 Downloads
  8. Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
    International Review of Financial Analysis, 2018, 55, (C), 140-155 Downloads
  9. PITFALLS IN CROSS‐SECTION STUDIES WITH INTEGRATED REGRESSORS: A SURVEY AND NEW DEVELOPMENTS
    Journal of Economic Surveys, 2018, 32, (4), 1045-1073 Downloads
  10. Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
    International Review of Financial Analysis, 2018, 59, (C), 179-211 Downloads
  11. Risk perception in financial markets: On the flip side
    International Review of Financial Analysis, 2018, 57, (C), 184-206 Downloads
  12. Risk transmitters and receivers in global currency markets
    Finance Research Letters, 2018, 25, (C), 1-9 Downloads
    See also Working Paper (2018)
  13. Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach
    Applied Economics, 2018, 50, (47), 5031-5049 Downloads
  14. 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 Downloads View citations (1)

2017

  1. 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 Downloads View citations (12)
    See also Working Paper (2016)
  2. 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 Downloads View citations (2)
  3. Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets
    International Review of Finance, 2017, 17, (1), 155-162 Downloads View citations (1)
  4. Herding behavior, market sentiment and volatility: Will the bubble resume?
    The North American Journal of Economics and Finance, 2017, 42, (C), 107-131 Downloads View citations (3)
  5. Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
    European Journal of Operational Research, 2017, 256, (3), 945-961 Downloads View citations (13)
    See also Working Paper (2016)
  6. Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 12 Downloads View citations (1)
  7. Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach
    Review of Behavioral Economics, 2017, 4, (2), 83-106 Downloads
  8. The asymmetric relationship between returns and implied volatility: Evidence from global stock markets
    Journal of Financial Stability, 2017, 30, (C), 156-174 Downloads View citations (3)
  9. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
    Empirical Economics, 2017, 53, (3), 879-889 Downloads View citations (11)
    See also Working Paper (2015)

2016

  1. A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices
    Applied Economics, 2016, 48, (31), 2895-2898 Downloads View citations (4)
    See also Working Paper (2015)
  2. 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 Downloads View citations (1)
    See also Working Paper (2016)
  3. Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach
    Economic Modelling, 2016, 58, (C), 580-587 Downloads View citations (3)
  4. Impact of speculation and economic uncertainty on commodity markets
    International Review of Financial Analysis, 2016, 43, (C), 115-127 Downloads View citations (25)
  5. Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
    Finance Research Letters, 2016, 18, (C), 291-296 Downloads View citations (17)
    See also Working Paper (2015)
  6. On economic uncertainty, stock market predictability and nonlinear spillover effects
    The North American Journal of Economics and Finance, 2016, 36, (C), 184-191 Downloads View citations (21)
    See also Working Paper (2015)
  7. 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 Downloads View citations (16)
  8. Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
    Journal of Forecasting, 2016, 35, (7), 613-632 Downloads View citations (2)
    See also Working Paper (2014)

2015

  1. 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 Downloads View citations (12)
    See also Working Paper (2014)
  2. 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 Downloads View citations (1)
    See also Working Paper (2014)
  3. Heuristic learning in intraday trading under uncertainty
    Journal of Empirical Finance, 2015, 30, (C), 34-49 Downloads
  4. MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS
    Macroeconomic Dynamics, 2015, 19, (07), 1565-1592 Downloads View citations (5)
    See also Working Paper (2015)
  5. Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
    Resources Policy, 2015, 46, (P2), 1-11 Downloads View citations (10)
  6. Oil price forecastability and economic uncertainty
    Economics Letters, 2015, 132, (C), 125-128 Downloads View citations (19)
    See also Working Paper (2015)
  7. Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
    Economics Letters, 2015, 131, (C), 83-85 Downloads View citations (7)
    See also Working Paper (2015)

2014

  1. Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
    Computational Statistics & Data Analysis, 2014, 71, (C), 298-323 Downloads View citations (12)
    See also Working Paper (2014)
  2. 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 Downloads View citations (33)
  3. Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics
    Journal of Banking & Finance, 2014, 39, (C), 117-134 Downloads View citations (12)
    See also Working Paper (2011)
  4. Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area
    Economic Modelling, 2014, 38, (C), 619-626 Downloads View citations (6)
  5. 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 Downloads View citations (3)
  6. Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform
    Computational Economics, 2014, 44, (2), 231-251 Downloads View citations (2)

2013

  1. Irrational fads, short-term memory emulation, and asset predictability
    Review of Financial Economics, 2013, 22, (4), 213-219 Downloads View citations (5)
  2. On the predictability of time-varying VAR and DSGE models
    Empirical Economics, 2013, 45, (1), 635-664 Downloads View citations (16)
    See also Working Paper (2013)
  3. The multiscale causal dynamics of foreign exchange markets
    Journal of International Money and Finance, 2013, 33, (C), 282-305 Downloads View citations (19)
    See also Working Paper (2011)

2010

  1. Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets
    European Journal of Operational Research, 2010, 202, (1), 285-293 Downloads View citations (7)
  2. Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach
    Journal of Economic Dynamics and Control, 2010, 34, (6), 1153-1170 Downloads View citations (9)

2009

  1. A robust algorithm for parameter estimation in smooth transition autoregressive models
    Economics Letters, 2009, 103, (1), 36-38 Downloads View citations (3)

2008

  1. Direction-of-change forecasting using a volatility-based recurrent neural network
    Journal of Forecasting, 2008, 27, (5), 407-417 Downloads View citations (7)
    See also Working Paper (2006)
  2. 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 Downloads View citations (2)
  3. The extreme-value dependence of Asia-Pacific equity markets
    Journal of Multinational Financial Management, 2008, 18, (3), 197-208 Downloads View citations (6)
  4. The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing
    Journal of Macroeconomics, 2008, 30, (4), 1641-1650 Downloads View citations (17)
    See also Working Paper (2007)
  5. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
    Energy Economics, 2008, 30, (5), 2673-2685 Downloads View citations (114)
    See also Working Paper (2007)

2007

  1. A neurofuzzy model for stock market trading
    Applied Economics Letters, 2007, 14, (1), 53-57 Downloads
  2. 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 Downloads View citations (4)

2005

  1. 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 Downloads View citations (22)
 
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