Title:The multiscale causal dynamics of foreign exchange markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of International Money and Finance, 2013, Vol. 33, pp. 282-305
Type:ArticleAbstract:This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales. It explores the nature and direction of causality among the ...
Title:Irrational fads, short-term memory emulation and asset predictability Author(s):BEKIROS, Stelios D.Date:2013Citation:
- Review of Financial Economics, 2013, Vol. 22, No. 4, pp. 213-219
Type:ArticleAbstract:Opponents of the efficient markets hypothesis argue that predictability reflects the psychological factors and “fads” of irrational investors in a speculative market. In that, conventional time series analysis often fails ...
Title:On the predictability of time-varying VAR and DSGE models Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2013Citation:
- Empirical Economics, 2013, Vol. 45, No. 1, pp. 635-664
Type:ArticleAbstract:Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with ...