Title:Evolutionary-based return forecasting with nonlinear STAR models : evidence from the Eurozone peripheral stock markets Author(s):AVDOULAS, Christos; BEKIROS, Stelios D.; BOUBAKER, SabriDate:2018Citation:
- Annals of operations research, 2018, Vol. 262, No. 2, pp. 307–333
Type:ArticleAbstract:Traditional linear regression and time-series models often fail to produce accurate forecasts due to inherent nonlinearities and structural instabilities, which characterize financial markets and challenge the Efficient ...
Title:Detecting nonlinear interdependencies in eurozone peripheral equity markets : a multistep filtering approach Author(s):BEKIROS, Stelios D.; AVDOULAS, Christos; BOUBAKER, SabriDate:2016Citation:
- Economic modelling, 2016, Vol. 58, pp. 580-587
Type:ArticleAbstract:This paper assesses the presence of linear and nonlinear dynamic causal relations among the stock markets of the Eurozone peripheral countries, namely Portugal, Ireland, Italy, Greece and Spain (PIIGS countries). In addition ...
Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...