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

Working Papers

2021

1. 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

2. 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

3. Forecasting Volatility in Cryptocurrency Markets
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
4. 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)
5. Spillover across Eurozone credit market sectors and determinants
   Post-Print, HAL View citations (12)
   See also Journal Article in Applied Economics (2019)

2018

6. 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)
7. 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)
8. 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)
9. Risk transmitters and receivers in global currency markets
   Post-Print, HAL View citations (8)
   See also Journal Article in Finance Research Letters (2018)

2017

10. Implications for banking stability and welfare under capital shocks and countercyclical requirements
    Economics Working Papers, European University Institute
11. Mortgage Defaults, Expectation-Driven House Prices and Monetary Policy
    Economics Working Papers, European University Institute View citations (1)
12. 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)
13. 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

14. 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)
15. Chaos in G7 Stock Markets using Over One Century of Data: A Note
    Working Papers, University of Pretoria, Department of Economics
16. 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)
17. 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)
18. 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

19. 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)
20. Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs
    Economics Working Papers, European University Institute
21. 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)
22. 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)
23. 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)
24. 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)
25. 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)
26. 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

27. 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)
28. 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)
29. Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach
    Working Papers, Department of Research, Ipag Business School View citations (9)
30. 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)
31. Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model
    Working Papers, Department of Research, Ipag Business School View citations (15)
32. 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

33. Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
    Working Paper series, Rimini Centre for Economic Analysis
34. 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)
35. 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

36. 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)
37. 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)
38. Nonlinear causality testing with stepwise multivariate filtering
    Economics Working Papers, European University Institute View citations (2)
39. 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

40. 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

41. 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)
42. 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

43. 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)
44. 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

1. Complexity measures of high oscillations in phonocardiogram as biomarkers to distinguish between normal heart sound and pathological murmur
   Chaos, Solitons & Fractals, 2022, 154, (C)
2. Deep learning systems for automatic diagnosis of infant cry signals
   Chaos, Solitons & Fractals, 2022, 154, (C)
3. 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)
4. Optimal Reinforcement Learning-Based Control Algorithm for a Class of Nonlinear Macroeconomic Systems
   Mathematics, 2022, 10, (3), 1-13 View citations (1)

2021

5. 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)
6. A novel fuzzy mixed H2/H∞ optimal controller for hyperchaotic financial systems
   Chaos, Solitons & Fractals, 2021, 146, (C) View citations (5)
7. Artificial macro-economics: A chaotic discrete-time fractional-order laboratory model
   Chaos, Solitons & Fractals, 2021, 145, (C) View citations (5)
8. 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)
9. Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets
   Computational Economics, 2021, 58, (4), 1289-1299
10. 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)
11. Discrete-time macroeconomic system: Bifurcation analysis and synchronization using fuzzy-based activation feedback control
    Chaos, Solitons & Fractals, 2021, 142, (C) View citations (4)
12. Multivariate time-varying parameter modelling for stock markets
    Empirical Economics, 2021, 61, (2), 947-972
13. 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)
14. 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)
15. 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)
16. Understanding the credit cycle and business cycle dynamics in India
    International Review of Economics & Finance, 2021, 76, (C), 988-1006 View citations (1)

2020

17. A fractional-order hyper-chaotic economic system with transient chaos
    Chaos, Solitons & Fractals, 2020, 130, (C) View citations (24)
18. 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)
19. A tale of two shocks: The dynamics of international real estate markets
    International Journal of Finance & Economics, 2020, 25, (1), 3-27
20. Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets
    Chaos, Solitons & Fractals, 2020, 131, (C) View citations (7)
21. Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
    Computational Economics, 2020, 56, (2), 529-545 View citations (4)
22. Expectation-driven house prices and debt defaults: The effectiveness of monetary and macroprudential policies
    Journal of Financial Stability, 2020, 49, (C) View citations (1)
23. Forecasting volatility in bitcoin market
    Annals of Finance, 2020, 16, (3), 435-462 View citations (3)
24. Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market
    Chaos, Solitons & Fractals, 2020, 133, (C) View citations (6)
25. 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)
26. 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)
27. 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)
28. 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)
29. Optimal policies for control of the novel coronavirus disease (COVID-19) outbreak
    Chaos, Solitons & Fractals, 2020, 136, (C) View citations (13)
30. 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)
31. 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)
32. Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis
    Forecasting, 2020, 2, (2), 1-28 View citations (2)
33. SBDiEM: A new mathematical model of infectious disease dynamics
    Chaos, Solitons & Fractals, 2020, 136, (C) View citations (10)
34. Spillovers across European sovereign credit markets and role of surprise and uncertainty
    Applied Economics, 2020, 52, (8), 851-865 View citations (3)
35. 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)
36. 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)
37. 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)
38. 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

39. 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)
40. Analysing the systemic risk of Indian banks
    Economics Letters, 2019, 176, (C), 103-108 View citations (10)
41. Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
    Quantitative Finance, 2019, 19, (9), 1569-1577 View citations (9)
42. Cryptocurrency forecasting with deep learning chaotic neural networks
    Chaos, Solitons & Fractals, 2019, 118, (C), 35-40 View citations (51)
43. Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches
    Computational Economics, 2019, 54, (2), 647-667
44. 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)
45. Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques
    Chaos, Solitons & Fractals, 2019, 126, (C), 325-336 View citations (64)
46. Enhancing the predictability of crude oil markets with hybrid wavelet approaches
    Economics Letters, 2019, 182, (C), 50-54 View citations (6)
47. 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)
48. Is anti-herding behavior spurious?
    Finance Research Letters, 2019, 29, (C), 379-383
49. On the pricing of exotic options: A new closed-form valuation approach
    Chaos, Solitons & Fractals, 2019, 122, (C), 153-162
50. Spillover across Eurozone credit market sectors and determinants
    Applied Economics, 2019, 51, (59), 6333-6349 View citations (12)
    See also Working Paper (2019)
51. Tail-Related Risk Measurement and Forecasting in Equity Markets
    Computational Economics, 2019, 53, (2), 783-816 View citations (3)
52. The high frequency multifractal properties of Bitcoin
    Physica A: Statistical Mechanics and its Applications, 2019, 520, (C), 62-71 View citations (22)

2018

53. 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)
54. Asymmetric linkages among the fear index and emerging market volatility indices
    Emerging Markets Review, 2018, 37, (C), 17-31 View citations (26)
55. 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)
56. Chaos, randomness and multi-fractality in Bitcoin market
    Chaos, Solitons & Fractals, 2018, 106, (C), 28-34 View citations (74)
57. 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)
58. 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)
59. Forecasting Inflation Uncertainty in the G7 Countries
    Econometrics, 2018, 6, (2), 1-25
    See also Working Paper (2018)
60. Forecasting US GNP growth: The role of uncertainty
    Journal of Forecasting, 2018, 37, (5), 541-559 View citations (9)
    See also Working Paper (2016)
61. Long-range memory, distributional variation and randomness of bitcoin volatility
    Chaos, Solitons & Fractals, 2018, 107, (C), 43-48 View citations (59)
62. Modelling volatility persistence under stochasticity assumptions: evidence from common and alternative investments
    Chaos, Solitons & Fractals, 2018, 114, (C), 158-163 View citations (3)
63. Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches
    Computational Economics, 2018, 52, (2), 521-530
64. 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)
65. 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)
66. 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)
67. Revisiting the three factor model in light of circular behavioural simultaneities
    Review of Behavioral Finance, 2018, 10, (3), 210-230
68. Risk perception in financial markets: On the flip side
    International Review of Financial Analysis, 2018, 57, (C), 184-206 View citations (6)
69. Risk transmitters and receivers in global currency markets
    Finance Research Letters, 2018, 25, (C), 1-9 View citations (5)
    See also Working Paper (2018)
70. 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)
71. 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)
72. Time-dependent complexity measurement of causality in international equity markets: A spatial approach
    Chaos, Solitons & Fractals, 2018, 116, (C), 215-219 View citations (7)
73. Time-varying self-similarity in alternative investments
    Chaos, Solitons & Fractals, 2018, 111, (C), 1-5 View citations (7)

2017

74. 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)
75. 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)
76. Disturbances and complexity in volatility time series
    Chaos, Solitons & Fractals, 2017, 105, (C), 38-42 View citations (14)
77. Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets
    International Review of Finance, 2017, 17, (1), 155-162 View citations (9)
78. 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)
79. 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)
80. 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)
81. 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)
82. 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)
83. 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

84. 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)
85. 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)
86. Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach
    Economic Modelling, 2016, 58, (C), 580-587 View citations (3)
87. Impact of speculation and economic uncertainty on commodity markets
    International Review of Financial Analysis, 2016, 43, (C), 115-127 View citations (67)
88. 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)
89. 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)
90. 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)
91. 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

92. 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)
93. 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)
94. Heuristic learning in intraday trading under uncertainty
    Journal of Empirical Finance, 2015, 30, (C), 34-49 View citations (3)
95. 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)
96. Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
    Resources Policy, 2015, 46, (P2), 1-11 View citations (28)
97. Oil price forecastability and economic uncertainty
    Economics Letters, 2015, 132, (C), 125-128 View citations (54)
    See also Working Paper (2015)
98. 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

99. 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)
100. 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)
101. 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)
102. 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)
103. 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)
104. Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform
     Computational Economics, 2014, 44, (2), 231-251 View citations (6)

2013

105. 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)
106. 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)
107. 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

108. 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)
109. 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

110. A robust algorithm for parameter estimation in smooth transition autoregressive models
     Economics Letters, 2009, 103, (1), 36-38 View citations (4)

2008

111. 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)
112. 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)
113. The extreme-value dependence of Asia-Pacific equity markets
     Journal of Multinational Financial Management, 2008, 18, (3), 197-208 View citations (8)
114. 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)
115. 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

116. A neurofuzzy model for stock market trading
     Applied Economics Letters, 2007, 14, (1), 53-57 View citations (3)
117. 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

118. 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

1. Chaos, Solitons & Fractals
   Elsevier