Title:Disturbances and complexity in volatility time series Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2017Citation:
- Chaos, solitons & fractals, 2017, Vol. 105, pp. 38-42
Type:ArticleAbstract:Recent works in econophysics have quantitatively shown that the latest global financial crisis has considerably affected nonlinear dynamics in markets worldwide. In the current study, we focus on complexity in volatility ...
Title:Sovereign bond market dependencies and crisis transmission around the Eurozone debt crisis : a dynamic copula approach Author(s):BEKIROS, Stelios D.; HAMMOUDEH, Shawkat; JAMMAZI, Rania; NGUYEN, Duc KhuongDate:2018Citation:
- Applied economics, 2018, Vol. 50, No. 47, pp. 5029-5047
Type:ArticleAbstract:We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond ...