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:Chaos, randomness and multi-fractality in Bitcoin market Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2018Citation:
- Chaos, solitons & fractals, 2018, Vol. 106, pp. 28-34
Type:ArticleAbstract:Since its inception, the digital currency market is considerably growing, especially in the most recent years. The main purpose of this paper is to investigate, assess and detect chaos, randomness, and multi-scale temporal ...
Title:Directional predictability and time-varying spillovers between stock markets and economic cycles Author(s):BEKIROS, Stelios D.; HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; REHMAN, Mobeen U.Date:2018Citation:
- Economic modelling, 2018, Vol. 69, pp. 301-312
Type:ArticleAbstract:We examine the nonlinear dependence structure and causal nexus between business cycles, stock market returns and asset return volatility for the US economy. We implement two novel methodologies, namely quantile-on-quantile ...