Title:Enhancing the predictability of crude oil markets with hybrid wavelet approaches Author(s):UDDIN, Gazi Salah; GENCAY, Ramazan; BEKIROS, Stelios D.; SAHAMKHADAM, MaziarDate:2019Citation:
- Economics letters, 2019, Vol. 182, pp. 50-54
Type:ArticleAbstract:We explore the robustness, efficiency and accuracy of the multi-scale forecasting in crude oil markets. We adopt a novel hybrid wavelet auto-ARMA model to detect the inherent nonlinear dynamics of crude oil returns with ...
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 ...
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, Art. 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 ...