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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: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 ...
; SALVI, AntonioDate:2018Citation:
Title:Asset prices, disagreement and trade volume Author(s):SCHÜTZE, FabianDate:2018Citation:
- Florence : European University Institute, 2018
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:In this thesis, I discuss how asset prices are influenced by the decisions of heterogeneous investors. Asset prices are conventionally explained through a representative-investor whose risk-aversion fluctuates or who faces ...
Date:2018Citation:
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 ...
Date:2018Citation:
Title:Essays in applied econometrics of high frequency financial data Author(s):ARCHAKOV, IlyaDate:2016Citation:
- Florence : European University Institute, 2016
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract: filter. We apply our framework to model the crude oil futures prices. Using more than 150,000,000 transactions for the large panel of contracts we carefully construct the realized volatility measures corresponding to the ...
Date:2016Citation:
Title:Essays in applied econometrics and finance Author(s):ELLWANGER, ReinhardDate:2015Citation:
- Florence : European University Institute, 2015
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis comprises three essays. The first two chapters address topics in commodity markets and their interaction with derivative and other asset markets. The third essay deals with the effects to and from fiscal policy ...
Date:2015Citation: