NEW MODELS FOR MACROPRUDENTIAL POLICY AND FORECASTING: THE EURO CRISIS

Project Information

NAUTILUS

Grant agreement ID: 656136

DOI

10.3030/656136

Project closed

EC signature date 17 April 2015

Start date 1 July 2015

End date 31 December 2016

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 129 357,90

EU contribution

€ 129 357,90

Coordinated by

EUROPEAN UNIVERSITY INSTITUTE
Italy

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (14)

A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices

Author(s): Stelios Bekiros, Rangan Gupta, Clement Kyei
Published in: Applied Economics, Issue 48/31, 2016, Page(s) 2895-2898, ISSN 0003-6846
Publisher: Routledge
DOI: 10.1080/00036846.2015.1130793

Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios

Author(s): Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen
Published in: Resources Policy, Issue 46, 2015, Page(s) 1-11, ISSN 0301-4207
Publisher: Pergamon Press Ltd.
DOI: 10.1016/j.resourpol.2015.07.003

Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach

Author(s): Christos Avdoulas, Stelios Bekiros, Sabri Boubaker
Published in: Economic Modelling, Issue 58, 2016, Page(s) 580-587, ISSN 0264-9993
Publisher: Elsevier BV
DOI: 10.1016/j.econmod.2016.02.001

Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets

Author(s): Stelios Bekiros, Gazi Salah Uddin
Published in: International Review of Finance, 2016, ISSN 1369-412X
Publisher: John Wiley & Sons Ltd.
DOI: 10.1111/irfi.12095

Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs

Author(s): Stelios Bekiros, Roberta Cardani, Alessia Paccagnini, Stefania Villa
Published in: Journal of Financial Stability, Issue 26, 2016, Page(s) 216-227, ISSN 1572-3089
Publisher: Elsevier BV
DOI: 10.1016/j.jfs.2016.07.006

The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method

Author(s): Mehmet Balcilar, Stelios Bekiros, Rangan Gupta
Published in: Empirical Economics, 2016, ISSN 0377-7332
Publisher: Springer Verlag
DOI: 10.1007/s00181-016-1150-0

On the time scale behavior of equity-commodity links: Implications for portfolio management

Author(s): Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin, Bo Sjö
Published in: Journal of International Financial Markets, Institutions and Money, Issue 41, 2016, Page(s) 30-46, ISSN 1042-4431
Publisher: Elsevier BV
DOI: 10.1016/j.intfin.2015.12.003

Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis

Author(s): Stelios Bekiros, Rangan Gupta, Anandamayee Majumdar
Published in: Finance Research Letters, Issue 18, 2016, Page(s) 291-296, ISSN 1544-6123
Publisher: Elsevier BV
DOI: 10.1016/j.frl.2016.01.012

On economic uncertainty, stock market predictability and nonlinear spillover effects

Author(s): Stelios Bekiros, Rangan Gupta, Clement Kyei
Published in: The North American Journal of Economics and Finance, Issue 36, 2016, Page(s) 184-191, ISSN 1062-9408
Publisher: Elsevier BV
DOI: 10.1016/j.najef.2016.01.003

Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets

Author(s): Stelios Bekiros, Duc Khuong Nguyen, Leonidas Sandoval Junior, Gazi Salah Uddin
Published in: European Journal of Operational Research, Issue 256/3, 2017, Page(s) 945-961, ISSN 0377-2217
Publisher: Elsevier BV
DOI: 10.1016/j.ejor.2016.06.052

Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets

Author(s): Christos Avdoulas, Stelios Bekiros, Sabri Boubaker
Published in: Annals of Operations Research, 2015, ISSN 0254-5330
Publisher: Kluwer Academic Publishers
DOI: 10.1007/s10479-015-2078-z

Oil price forecastability and economic uncertainty

Author(s): Stelios Bekiros, Rangan Gupta, Alessia Paccagnini
Published in: Economics Letters, Issue 132, 2015, Page(s) 125-128, ISSN 0165-1765
Publisher: Elsevier BV
DOI: 10.1016/j.econlet.2015.04.023

Impact of speculation and economic uncertainty on commodity markets

Author(s): Pierre Andreasson, Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin
Published in: International Review of Financial Analysis, Issue 43, 2016, Page(s) 115-127, ISSN 1057-5219
Publisher: Elsevier BV
DOI: 10.1016/j.irfa.2015.11.005

Policy-Oriented Macroeconomic Forecasting with Hybrid DGSE and Time-Varying Parameter VAR Models

Author(s): Stelios D. Bekiros, Alessia Paccagnini
Published in: Journal of Forecasting, Issue 35/7, 2016, Page(s) 613-632, ISSN 0277-6693
Publisher: John Wiley & Sons Inc.
DOI: 10.1002/for.2401