Search
Now showing items 1-10 of 89
- Sort Options:
- Relevance
- Title Asc
- Title Desc
- Issue Date Asc
- Issue Date Desc
- Submission Date Asc
- Submission Date Desc
- Results Per Page:
- 5
- 10
- 20
- 40
- 60
- 80
- 100
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 ...

Title:Chaos, randomness and multi-fractality in Bitcoin market Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.
Date:2018Citation:
- Chaos, solitons & fractals, 2018, Vol. 106, pp. 28-34
Type:ArticleAbstract:Since its inception, the digital currency market is considerably growing, especially in the most recent years. The main purpose of this paper is to investigate, assess and detect chaos, randomness, and multi-scale temporal ...

Title:Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis Author(s):LAHMIRI, Salim; SALAH UDDIN, Gazi; BEKIROS, Stelios D.
Date:2017Citation:
- Chaos, solitons & fractals, 2017, Vol. 103, pp. 342-346
Type:ArticleAbstract:We attempt to quantify the intrinsic nonlinear dynamics of thirty international financial markets. Fractality, chaoticity and randomness are explored during and after the recent global financial crisis. We find that most ...

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). ...

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 ...

Title:Multivariate dependence risk and portfolio optimization : an application to mining stock portfolios Author(s):BEKIROS, Stelios D.
; ARREOLA HERNANDEZ, Jose; HAMMOUDEH, Shawkat; KHUONG NGUYEN, DucDate:2015Citation:
- Resources policy : the international journal of minerals policy and economics, 2015, Vol. 46, No. 2, pp. 1–11
Type:ArticleAbstract:This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of ...

Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...

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:Tail-related risk measurement and forecasting in equity markets Author(s):BEKIROS, Stelios D.
; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; AVDOULAS, ChristosDate:2019Citation:
- Computational economics, 2019, Vol. 53, No. 2, pp. 783-816
Type:ArticleAbstract:Parametric, simulation-based and hybrid methods are utilized to estimate various risk measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall. An exhaustive backtesting analysis is performed ...

Title:Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain Author(s):LAHMIRI, Salim; SALAH UDDIN, Gazi; BEKIROS, Stelios D.
Date:2017Citation:
- Physica A : statistical mechanics and its applications, 2017, Vol. 486, pp. 947-955
Type:ArticleAbstract:We propose a general framework for measuring short and long term dynamics in asset classes based on the wavelet presentation of clustering analysis. The empirical results show strong evidence of instability of the financial ...
