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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 ...
; GUPTA, RanganDate:2015Citation:
Title:Heuristic learning in intraday trading under uncertainty Author(s):BEKIROS, Stelios D.Date:2015Citation:
- Journal of empirical finance, 2015, Vol. 30, pp. 34-49
Type:ArticleAbstract:Until recently economists focused on structural models that were constrained by a lack of high-frequency data and theoretical deficiencies. Little academic research has been invested in actually trying to build successful ...
Date:2015Citation:
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 ...
; HAMMOUDEH, Shawkat; JAMMAZI, Rania; NGUYEN, Duc KhuongDate:2018Citation:
Title:Revisiting the three factor model in light of circular behavioural simultaneities Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; UDDIN, Gazi SalahDate:2018Citation:
- Review of behavioral finance, 2018, Vol. 10, No. 3, pp. 210-230
Type:ArticleAbstract:Purpose The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The ...
; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; UDDIN, Gazi SalahDate:2018Citation:
Title:Portfolio optimization with investor utility preference of higher-order moments : a behavioral approach Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, IordanisDate:2017Citation:
- Review of behavioral economics, 2017, Vol. 4, No. 2, pp. 83-106
Type:ArticleAbstract:We incorporate advanced higher moments of individual or institutional investors in a new approach dealing with the portfolio selection problem, formulated under a multi-criteria optimization framework. The “integrated ...
; LOUKERIS, Nikolaos; ELEFTHERIADIS, IordanisDate:2017Citation:
Title:Nonlinear forecasting of euro area industrial production using evolutionary approaches Author(s):AVDOULAS, Christos; BEKIROS, Stelios D.Date:2018Citation:
- Computational economics, 2018, Vol. 52, No. 2, pp. 521–530
Type:ArticleAbstract:Stock Watson (in: Mills T, Patterson K (eds) Palgrave handbook of econometrics, Palgrave MacMillan, Basingstoke, 2003) argue that robust forecastability is dependent upon the optimality of the estimated parameters. Whilst ...
Date:2018Citation: