Title:The informational dynamics of meanvariance relationships in fertilizer markets : an entropic investigation Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2018Citation:
- Entropy, 2018, Vol. 20, No. 9, (677)
Type:ArticleAbstract:The riskreturn trade-off is a fundamental relationship that has received a large amount of attention in financial and economic analysis. Indeed, it has important implications for understanding linear dynamics in price ...
Title:The nexus between geopolitical uncertainty and crude oil markets : an entropy-based wavelet analysis Author(s):UDDIN, Gazi Salah; BEKIROS, Stelios D.; AHMED, AliDate:2018Citation:
- Physica A : statistical mechanics and its applications, 2018, Vol. 495, pp. 30-39
Type:ArticleAbstract:The global financial crisis and the subsequent geopolitical turbulence in energy markets have brought increased attention to the proper statistical modeling especially of the crude oil markets. In particular, we utilize a ...
Title:Long-range memory, distributional variation and randomness of bitcoin volatility Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.; SALVI, AntonioDate:2018Citation:
- Chaos solitons & fractals, 2018, Vol. 107, pp. 43-48
Type:ArticleAbstract:We investigate the nonlinear patterns of volatility in seven Bitcoin markets. In particular, we explore the fractional long-range dependence in conjunction with the potential inherent stochasticity of volatility time series ...