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NEW MODELS FOR MACROPRUDENTIAL POLICY AND FORECASTING: THE EURO CRISIS

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Publications

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
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
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
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
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
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
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
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
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
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
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
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
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
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
DOI: 10.1002/for.2401