Details about Catherine KYRTSOU

Access statistics for papers by Catherine KYRTSOU.

Last updated 2024-05-10. Update your information in the RePEc Author Service.

Short-id: pky4

Working Papers

2023

1. Mapping inflation dynamics
   Working Papers, Bank of Greece

2015

2. Macroeconomics: Policy and Practice by F. Mishkin (2nd edition)
   Post-Print, HAL

2014

3. Comovement and Contagion in Financial Markets
   Post-Print, HAL

2013

4. Partial Symbolic Transfer Entropy
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

2011

5. The Effects of Terrorism and War on the Oil and Prices Stock Indices Relationship
   Economics of Security Working Paper Series, DIW Berlin, German Institute for Economic Research View citations (11)

2010

6. Effects of Tax Policy Announcements in the Athens Stock Exchange
   EcoMod2010, EcoMod
7. Nonlinear Financial Analysis
   Post-Print, HAL

2008

8. Modelling non-linear comovements between time series
   Department of Economics Working Papers, Durham University, Department of Economics View citations (1)
   See also Journal Article Modelling non-linear comovements between time series, Journal of Macroeconomics, Elsevier (2009) View citations (14) (2009)
9. Seasonal Mackey-Glass-GARCH process and short-term dynamics
   Discussion Paper Series, Department of Economics, University of Macedonia
   See also Journal Article Seasonal Mackey–Glass–GARCH process and short-term dynamics, Empirical Economics, Springer (2010) View citations (7) (2010)

2006

10. Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics
    Working Papers, Association Française de Cliométrie (AFC) View citations (3)

2005

11. New Trends in Macroeconomics
    Post-Print, HAL View citations (111)

2004

12. Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series
    Computing in Economics and Finance 2004, Society for Computational Economics

2000

13. IS IT POSSIBLE TO STUDY JOINTLY CHAOTIC AND ARCH BEHAVIOUR? APPLICATION OF A NOISY MACKEY-GLASS EQUATION WITH HETEROSKEDASTIC ERRORS TO THE PARIS STOCK EXCHANGE
    Computing in Economics and Finance 2000, Society for Computational Economics

Journal Articles

2023

1. Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data
   Empirical Economics, 2023, 64, (3), 1399-1420

2019

2. Further insights on the relationship between SP500, VIX and volume: a new asymmetric causality test
   The European Journal of Finance, 2019, 25, (15), 1402-1419 View citations (5)

2017

3. Assessment of resampling methods for causality testing: A note on the US inflation behavior
   PLOS ONE, 2017, 12, (7), 1-20
4. Financial networks based on Granger causality: A case study
   Physica A: Statistical Mechanics and its Applications, 2017, 482, (C), 65-73 View citations (31)

2016

5. Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data
   Computational Economics, 2016, 47, (3), 341-365 View citations (10)
6. Does the S&P500 index lead the crude oil dynamics? A complexity-based approach
   Energy Economics, 2016, 56, (C), 239-246 View citations (11)

2013

7. Editorial introduction: ‘new facets of the economic complexity in modern financial markets’
   The European Journal of Finance, 2013, 19, (5), 337-343 View citations (1)
8. The effects of terrorism and war on the oil price–stock index relationship
   Energy Economics, 2013, 40, (C), 743-752 View citations (68)

2011

9. Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods
   Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (12)

2010

10. Introduction
    Brussels Economic Review, 2010, 53, (2), 165-167
11. Seasonal Mackey–Glass–GARCH process and short-term dynamics
    Empirical Economics, 2010, 38, (2), 325-345 View citations (7)
    See also Working Paper Seasonal Mackey-Glass-GARCH process and short-term dynamics, Discussion Paper Series (2008) (2008)
12. Testing for Granger Causality in the Presence of Chaotic Dynamics
    Brussels Economic Review, 2010, 53, (2), 323-327 View citations (8)

2009

13. Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"
    Energy Economics, 2009, 31, (6), 825-826
14. Energy sector pricing: On the role of neglected nonlinearity
    Energy Economics, 2009, 31, (3), 492-502 View citations (35)
15. Modelling non-linear comovements between time series
    Journal of Macroeconomics, 2009, 31, (1), 200-211 View citations (14)
    See also Working Paper Modelling non-linear comovements between time series, Department of Economics Working Papers (2008) View citations (1) (2008)
16. The impact of information signals on market prices when agents have non-linear trading rules
    Economic Modelling, 2009, 26, (1), 167-176 View citations (11)

2008

17. Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns
    Discrete Dynamics in Nature and Society, 2008, 2008, 1-7 View citations (6)
18. Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (27), 6785-6789 View citations (9)

2007

19. Detecting positive feedback in multivariate time series: The case of metal prices and US inflation
    Physica A: Statistical Mechanics and its Applications, 2007, 377, (1), 227-229 View citations (26)

2006

20. EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (01), 1-22 View citations (1)
21. Editorial introduction: Nonlinear macroeconomic dynamics
    Journal of Macroeconomics, 2006, 28, (1), 1-4
22. Evidence for chaotic dependence between US inflation and commodity prices
    Journal of Macroeconomics, 2006, 28, (1), 256-266 View citations (101)
23. Univariate tests for nonlinear structure
    Journal of Macroeconomics, 2006, 28, (1), 154-168 View citations (20)

2004

24. Noisy chaotic dynamics in commodity markets
    Empirical Economics, 2004, 29, (3), 489-502 View citations (23)

2003

25. Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series
    Computational Economics, 2003, 21, (3), 257-276 View citations (31)

2002

26. Stochastic chaos or ARCH effects in stock series?: A comparative study
    International Review of Financial Analysis, 2002, 11, (4), 407-431 View citations (22)

2000

27. Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data
    European Research Studies Journal, 2000, III, (3-4), 3-16 View citations (2)

Edited books

2005

1. New Trends in Macroeconomics
   Springer Books, Springer View citations (114)

Chapters

2005

1. Complex Dynamics in Macroeconomics: A Novel Approach
   Springer View citations (14)