Search
Now showing items 1-10 of 18
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:Optimal control of time-delay fractional equations via a joint application of radial basis functions and collocation method Author(s):CHEN, Shu-Bo; SORADI-ZEID, Samaneh; JAHANSHAHI, Hadi; ALCARAZ, Raul; GOMEZ-AGUILAR, Jose Francisco; BEKIROS, Stelios D.; CHU, Yu-MingDate:2020Citation:
- Entropy, 2020, Vol. 22, No. 11, Art. 1213, OnlineOnly
Type:ArticleAbstract:A novel approach to solve optimal control problems dealing simultaneously with fractional differential equations and time delay is proposed in this work. More precisely, a set of global radial basis functions are firstly ...
; CHU, Yu-MingDate:2020Citation:
Title:The effect of market confidence on a financial system from the perspective of fractional calculus : numerical investigation and circuit realization Author(s):CHEN, Shu-Bo; JAHANSHAHI, Hadi; ABBA, Oumate Alhadji; SOLIS-PEREZ, J. E.; BEKIROS, Stelios D.; GOMEZ-AGUILAR, J. F.; YOUSEFPOUR, Amin; CHU, Yu-MingDate:2020Citation:
- Chaos Solitons & Fractals, 2020, Vol. 140, Art. 110223, OnlineOnly
Type:ArticleAbstract:Modeling and analysis of financial systems have been interesting topics among researchers. The more precisely we know dynamic of systems, the better we can deal with them. This way, in this paper, we investigate the effect ...
; GOMEZ-AGUILAR, J. F.; YOUSEFPOUR, Amin; CHU, Yu-MingDate:2020Citation:
Title:Randomness, informational entropy, and volatility interdependencies among the major world markets : the role of the Covid-19 pandemic Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2020Citation:
- Entropy, 2020, Vol. 22, No. 8, Art. 833, OnlineOnly
Type:ArticleAbstract:The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity ...
Date:2020Citation:
Title:Recurrent neural network-based robust nonsingular sliding mode control with input saturation for a non-holonomic spherical robot Author(s):CHEN, Shu-Bo; BEIGI, Alireza; YOUSEFPOUR, Amin; RAJAEE, Farhad; JAHANSHAHI, Hadi; BEKIROS, Stelios D.; MARTINEZ, Raul Alcaraz; CHU, YumingDate:2020Citation:
- Institute of electrical and electronics engineers (IEEE) access, 2020, Vol. 8, pp. 188441-188453
Type:ArticleAbstract:We develop a new robust control scheme for a non-holonomic spherical robot. To this end, the mathematical model of a pendulum driven non-holonomic spherical robot is first presented. Then, a recurrent neural network-based ...
; MARTINEZ, Raul Alcaraz; CHU, YumingDate:2020Citation:
Title:A financial hyperchaotic system with coexisting attractors : dynamic investigation, entropy analysis, control and synchronization Author(s):JAHANSHAHI, Hadi; YOUSEFPOUR, Amin; WEI, Zhouchao; ALCARAZ, Raul; BEKIROS, Stelios D.Date:2019Citation:
- Chaos Solitons & Fractals, 2019, Vol. 126, pp. 66-77
Type:ArticleAbstract:This paper is concerned with dynamic and entropy analyses of a hyperchaotic financial system, as well as with its hyperchaos suppression and synchronization. The dynamic behaviour of the system is analyzed for several ...
Date:2019Citation:
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 ...
; SAHAMKHADAM, MaziarDate:2019Citation:
Title:Analysing the systemic risk of Indian banks Author(s):VERMA, Ramprasad; AHMAD, Wasim; UDDIN, Gazi Salah; BEKIROS, Stelios D.Date:2019Citation:
- Economics letters, 2019, Vol. 176, pp. 103-108
Type:ArticleAbstract:This paper adopts the Tail-Event driven NETwork (TENET) risk model to assess the systemic risk of Indian banks. Building upon the Value at Risk (VaR), Conditional Value at Risk (CoVaR) and a Single Index Model (SIM) in a ...
Date:2019Citation:
Title:Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques Author(s):ALTAN, Aytac; KARASU, Seckin; BEKIROS, Stelios D.Date:2019Citation:
- Chaos Solitons & Fractals, 2019, Vol. 126, pp. 325-336
Type:ArticleAbstract:The price forecasting of the digital currencies in the financial market is of great importance, especially after the recent global economic crises. Due to the nonlinear dynamics, which is including inherent fractality and ...
Date:2019Citation:
Title:On the pricing of exotic options : a new closed-form valuation approach Author(s):BEKIROS, Stelios D.; KOULOUMPOU, DimitraDate:2019Citation:
- Chaos Solitons & Fractals, 2019, Vol. 122, pp. 153-162
Type:ArticleAbstract:We provide a novel method to estimate in a closed-form solution the option prices of various exotic options, using techniques based on Laplace-Beltrami operator for estimating diffusion boundary times. We estimate exit ...
; KOULOUMPOU, DimitraDate:2019Citation: