Search
Now showing items 1-10 of 11
Title:Spillovers across European sovereign credit markets and role of surprise and uncertainty Author(s):BEKIROS, Stelios D.
; SHAHZAD, Syed Jawad Hussain; JAMMAZI, Rania; ALOUI, ChakerDate:2020Citation:
- Applied economics, 2020, Vol. 52, No. 8, pp. 851-865
Type:ArticleAbstract:We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) ...
; SHAHZAD, Syed Jawad Hussain; JAMMAZI, Rania; ALOUI, ChakerDate:2020Citation:
Title:Money supply and inflation dynamics in the Asia-Pacific economies : a time-frequency approach Author(s):BEKIROS, Stelios D.; MUZAFFAR, Ahmed T.; UDDIN, Gazi Salah; VIDAL-GARCIA, JavierDate:2017Citation:
- Studies in nonlinear dynamics & econometrics, 2017, Vol. 21, No. 3, OnlineOnly
Type:ArticleAbstract:We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us ...
; MUZAFFAR, Ahmed T.; UDDIN, Gazi Salah; VIDAL-GARCIA, JavierDate:2017Citation:
Title:Impact of speculation and economic uncertainty on commodity markets Author(s):ANDREASSON, Pierre; BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
- International review of financial analysis, 2016, Vol. 43, pp. 115-127
Type:ArticleAbstract:We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
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 tests causality in a multivariate setting to take into account the effects of all variables by using a three-step multivariate filtering procedure. The paper also investigates the existence of nonlinear causal ...
; AVDOULAS, Christos; BOUBAKER, SabriDate:2016Citation:
Title:Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach Author(s):BEKIROS, Stelios D.; GUPTA, RanganDate:2015Citation:
- Economics letters, 2015, Vol. 131, pp. 83-85
Type:ArticleAbstract:Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (View the MathML source), developed to account for structural breaks, is a ...
; GUPTA, RanganDate:2015Citation:
Title:Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets Author(s):BEKIROS, Stelios D.Date:2014Citation:
- International review of financial analysis, 2014, Vol. 33, pp. 58-69
Type:ArticleAbstract: investigated. To examine the dynamic linear and nonlinear causal linkages a stepwise filtering methodology is introduced, for which vector autoregressions and various multivariate GARCH representations are adopted. The ...
Date:2014Citation:
Title:Nonlinear causality testing with stepwise multivariate filtering : evidence from stock and currency markets Author(s):BEKIROS, Stelios D.Date:2014Citation:
- North American journal of economics and finance, 2014, Vol. 29, pp. 336-348
Type:ArticleAbstract: and system-wise causality analysis. A new stepwise multivariate filtering approach is implemented after controlling for conditional heteroskedasticity in the raw data and in VAR/VECM residuals using multivariate GARCH ...
Date:2014Citation:
Title:Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2014Citation:
- Journal of banking and finance, 2014, Vol 39, pp. 117-134
Type:ArticleAbstract:The present study builds upon the seminal work of Engel and West (2005) and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables ...
Date:2014Citation:
Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Title:The Multiscale Causal Dynamics of Foreign Exchange Markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...