Access Statistics for Stelios Bekiros

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices 0 2 4 33 0 3 9 92
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling 0 0 0 0 2 7 7 7
Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model 0 0 4 121 1 6 18 290
Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models 0 0 2 68 0 5 11 26
Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets 0 0 1 23 0 1 6 63
Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models 0 0 0 11 0 1 7 61
Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area 0 2 5 115 0 2 9 110
Chaos in G7 Stock Markets using Over One Century of Data: A Note 0 0 0 19 0 0 37 84
Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs 0 0 5 61 0 4 17 107
Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs 0 1 2 75 0 2 8 51
Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets 0 0 3 93 0 2 17 281
Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach 0 2 2 49 0 3 5 126
Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network 0 0 1 167 1 4 12 491
Directional predictability and time-varying spillovers between stock markets and economic cycles 0 0 0 0 3 3 3 3
Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model 0 0 0 60 0 5 7 21
Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models 0 0 0 75 0 1 3 229
Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics 0 0 1 96 3 5 13 229
Forecasting Inflation Uncertainty in the G7 Countries 0 1 2 53 4 8 21 41
Forecasting US GNP Growth: The Role of Uncertainty 0 1 2 53 2 5 38 137
Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model 0 0 1 81 0 0 4 123
Implications for banking stability and welfare under capital shocks and countercyclical requirements 0 0 2 57 1 3 10 45
Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis 0 1 2 38 0 2 10 86
Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets 1 2 4 35 1 4 9 64
Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs 1 1 3 85 2 4 12 51
Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs 0 1 4 100 1 4 10 236
Nonlinear causality testing with stepwise multivariate filtering 0 0 0 54 1 1 4 155
Oil Price Forecastability and Economic Uncertainty 0 1 2 100 0 5 15 167
Oil Price Forecastability and Economic Uncertainty 0 0 0 43 0 2 11 111
Oil price forecastability and economic uncertainty 0 1 2 97 0 5 13 46
On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects 0 0 1 28 3 3 10 113
On the predictability of time-varying VAR and DSGE models 1 1 1 2 1 3 7 16
On the predictability of time-varying VAR and DSGE models 0 0 0 4 1 3 10 27
Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models 0 1 1 57 0 2 6 69
Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models 0 2 8 209 4 8 30 565
Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach 0 0 0 8 0 0 1 54
Risk transmitters and receivers in global currency markets 0 0 0 0 1 3 10 10
THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD 0 0 1 32 3 7 22 104
The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations 2 4 14 86 4 10 33 93
The Multiscale Causal Dynamics of Foreign Exchange Markets 1 1 1 64 3 6 8 159
The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing 1 1 1 136 2 3 7 413
The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality 1 2 5 593 3 11 29 1,887
The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method 0 0 0 16 0 2 13 114
Total Working Papers 8 28 87 3,097 47 158 532 7,157


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A neurofuzzy model for stock market trading 0 0 0 171 0 0 3 456
A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices 0 0 0 11 2 3 5 27
A robust algorithm for parameter estimation in smooth transition autoregressive models 0 0 0 37 0 1 3 112
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling 2 5 10 10 6 10 31 31
Asymmetric linkages among the fear index and emerging market volatility indices 0 2 3 3 0 9 18 18
Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare 1 1 3 3 3 7 22 22
Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models 0 0 3 72 2 3 14 185
Black swan events and safe havens: The role of gold in globally integrated emerging markets 0 2 3 11 0 7 33 69
Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area 0 1 8 28 1 6 27 83
Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain 0 0 1 1 0 0 5 7
Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets 0 1 3 30 0 2 9 88
Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs 0 2 9 22 1 8 33 94
Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach 0 0 0 10 0 1 5 41
Direction-of-change forecasting using a volatility-based recurrent neural network 0 0 0 58 2 2 10 142
Directional predictability and time-varying spillovers between stock markets and economic cycles 1 3 10 12 5 11 31 48
Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model 0 0 0 31 0 2 8 95
Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance 0 0 0 122 0 0 2 325
Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets 0 0 4 9 3 6 16 37
Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics 0 0 2 89 2 3 8 352
Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets 0 0 2 2 0 1 3 6
Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus 0 0 0 2 0 1 1 37
Forecasting Inflation Uncertainty in the G7 Countries 0 0 2 3 0 2 13 19
Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area 0 5 10 65 3 11 20 190
Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets 0 0 0 22 0 0 1 92
Herding behavior, market sentiment and volatility: Will the bubble resume? 1 1 8 11 3 10 36 54
Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach 2 4 9 107 4 9 29 309
Heuristic learning in intraday trading under uncertainty 0 1 1 12 0 2 3 72
Impact of speculation and economic uncertainty on commodity markets 0 1 8 35 0 5 23 127
Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis 0 0 0 6 0 3 10 36
Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets 0 2 3 20 1 5 11 63
Irrational fads, short-term memory emulation, and asset predictability 0 0 0 8 0 2 7 60
MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS 0 0 3 30 1 2 11 66
Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach 0 1 6 26 0 1 23 70
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios 0 0 0 8 1 1 6 44
Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index 0 0 1 41 0 0 2 104
Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches 0 1 2 2 0 2 9 9
Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets 0 0 0 17 0 3 6 65
Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates 0 3 8 9 0 4 20 27
Oil price forecastability and economic uncertainty 0 4 9 53 2 10 28 139
On economic uncertainty, stock market predictability and nonlinear spillover effects 1 2 2 15 3 5 11 69
On the predictability of time-varying VAR and DSGE models 2 4 6 76 3 6 13 171
On the time scale behavior of equity-commodity links: Implications for portfolio management 0 0 0 10 4 4 9 53
PITFALLS IN CROSS‐SECTION STUDIES WITH INTEGRATED REGRESSORS: A SURVEY AND NEW DEVELOPMENTS 0 1 8 8 1 3 13 13
Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models 0 2 3 11 0 2 7 32
Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach 0 0 2 7 0 2 7 18
Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach 0 0 1 6 0 0 2 30
Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis 0 1 4 4 0 3 12 12
Risk perception in financial markets: On the flip side 0 2 8 8 2 9 32 32
Risk transmitters and receivers in global currency markets 1 2 7 7 1 2 13 13
Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach 0 1 1 1 0 2 6 6
The asymmetric relationship between returns and implied volatility: Evidence from global stock markets 0 1 8 23 4 8 49 103
The extreme-value dependence of Asia-Pacific equity markets 0 0 0 29 0 0 0 92
The multiscale causal dynamics of foreign exchange markets 0 0 0 38 1 3 9 135
The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis 1 2 5 6 1 3 14 17
The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing 0 0 1 77 1 2 7 276
The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality 1 5 12 167 3 11 35 591
The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method 1 1 3 10 1 5 18 40
Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform 0 1 2 7 0 4 7 31
Total Journal Articles 14 65 204 1,719 67 229 809 5,555


Statistics updated 2019-06-03