Title:Nonlinear forecasting of euro area industrial production using evolutionary approaches Author(s):AVDOULAS, Christos; BEKIROS, Stelios D.Date:2018Citation:
- Computational economics, 2018, Vol. 52, No. 2, pp. 521–530
Type:ArticleAbstract:Stock Watson (in: Mills T, Patterson K (eds) Palgrave handbook of econometrics, Palgrave MacMillan, Basingstoke, 2003) argue that robust forecastability is dependent upon the optimality of the estimated parameters. Whilst ...
Title:Revisiting the three factor model in light of circular behavioural simultaneities Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; UDDIN, Gazi SalahDate:2018Citation:
- Review of behavioral finance, 2018, Vol. 10, No. 3, pp. 210-230
Type:ArticleAbstract:Purpose The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The ...
Title:Sovereign bond market dependencies and crisis transmission around the Eurozone debt crisis : a dynamic copula approach Author(s):BEKIROS, Stelios D.; HAMMOUDEH, Shawkat; JAMMAZI, Rania; NGUYEN, Duc KhuongDate:2018Citation:
- Applied economics, 2018, Vol. 50, No. 47, pp. 5029-5047
Type:ArticleAbstract:We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond ...