Stelios Bekiros : Citation Profile

Are you Stelios Bekiros?

Athens University of Economics and Business (AUEB) (64% share)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (20% share)
European University Institute (10% share)
Rimini Centre for Economic Analysis (RCEA) (5% share)

14

H index

19

i10 index

556

Citations

RESEARCH PRODUCTION:

58

Articles

42

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 42
   Journals where Stelios Bekiros has often published
   Relations with other researchers
   Recent citing documents: 230.    Total self citations: 25 (4.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbe357
   Updated: 2019-10-06    RAS profile: 2019-02-06    
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Relations with other researchers

Works with:

Paccagnini, Alessia (22)

Uddin, Gazi (17)

GUPTA, RANGAN (17)

Nguyen, Duc Khuong (10)

Shahzad, Syed Jawad Hussain (6)

Kyei, Clement (4)

naoui, kamel (3)

Cardani, Roberta (3)

Villa, Stefania (3)

Balcilar, Mehmet (3)

Shahbaz, Muhammad (2)

Wilfling, Bernd (2)

lucey, brian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stelios Bekiros.

Is cited by:

GUPTA, RANGAN (69)

Balcilar, Mehmet (33)

McAleer, Michael (18)

Wohar, Mark (14)

Lean, Hooi Hooi (13)

Wong, Wing-Keung (12)

Nguyen, Duc Khuong (12)

Paccagnini, Alessia (10)

Demirer, Riza (10)

Ratti, Ronald (10)

Shahbaz, Muhammad (9)

Cites to:

Engle, Robert (39)

Schorfheide, Frank (33)

bloom, nicholas (31)

Nguyen, Duc Khuong (31)

Wouters, Raf (30)

Paccagnini, Alessia (29)

Diebold, Francis (29)

Smets, Frank (29)

Bollerslev, Tim (28)

Reichlin, Lucrezia (27)

Granger, Clive (26)

Main data

Where Stelios Bekiros has published?

Journals with more than one article published# docs
International Review of Financial Analysis5
Economics Letters3
Economic Modelling3
The North American Journal of Economics and Finance3
Studies in Nonlinear Dynamics & Econometrics3
Journal of International Financial Markets, Institutions and Money3
Empirical Economics2
Applied Economics2
European Journal of Operational Research2
Physica A: Statistical Mechanics and its Applications2
Journal of Financial Stability2
Journal of International Money and Finance2
Journal of Economic Dynamics and Control2
Computational Economics2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pretoria, Department of Economics8
Open Access publications / School of Economics, University College Dublin7
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance5
Working Papers / Department of Research, Ipag Business School4
Economics Working Papers / European University Institute4
Post-Print / HAL3
Working Papers / School of Economics, University College Dublin2
Working Papers / University of Milano-Bicocca, Department of Economics2
Working Paper series / Rimini Centre for Economic Analysis2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Stelios Bekiros (2018 and 2017)

YearTitle of citing document
2017DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?. (2017). Inar, Gokhan ; Uzmay, Ayse. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266472.

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2018“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201803.

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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2018Practical Deep Reinforcement Learning Approach for Stock Trading. (2018). Xiong, Zhuoran ; Walid, Anwar ; Yang, ; Zhong, Shan ; Liu, Xiao-Yang. In: Papers. RePEc:arx:papers:1811.07522.

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2019A fractional-order difference Cournot duopoly game with long memory. (2019). Kwon, Yekyung ; Peng, Wei ; Xin, Baogui. In: Papers. RePEc:arx:papers:1903.04305.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018Return and Volatility Spillover across stock markets of China and its Major Trading Partners: Evidence from Shanghai Stock Exchange Crash. (2018). Qarni, Muhammad Owais ; Saqib, Gulzar. In: Business & Economic Review. RePEc:bec:imsber:v:10:y:2018:i:3:p:1-20.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Understanding the Relationship between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh. (2017). Uddin, Gazi ; AROURI, Mohamed ; Sjo, BO ; Muzaffar, Ahmed Taneem. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1918-1933.

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2018DO INVESTORS MIMIC TRADING STRATEGIES OF FOREIGN INVESTORS OR THE MARKET: IMPLICATIONS FOR CAPITAL ASSET PRICING. (2018). Chamil, Senarathne W ; Wei, Jianguo. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:171-205.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus. In: ifo Working Paper Series. RePEc:ces:ifowps:_265.

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2017Excess stock returns, oil shocks, and policy uncertainty in the U.S.. (2017). Gözgör, Giray ; Demir, Ender ; Gozgor, Giray . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00090.

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2018Time-Frequency varying beta estimation -a continuous wavelets approach-. (2018). Mestre, Roman ; Terraza, Michel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00401.

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2017Tourism and Economic Growth in Jordan: Evidence from Linear and Nonlinear Frameworks. (2017). , Buthaina ; Daoud, Hussam-Eldin . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-28.

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2017The Lead Lag Relationship Between Spot and Futures Markets in the Energy Sector. (2017). Chen, Jengchung Victor ; Ha, Quang-An ; Prince, Yolanda Gabriela. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-04.

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2019Determination of Causality in Prices of Crude Oil. (2019). Ahmed, Farhan ; Aqil, Muhammad ; Kashif, Muhammad ; Sarwat, Salman. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-37.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2017Testing the dependency theory on small island economies: The case of Cyprus. (2017). YAYA, MEHMET ; Kutan, Ali ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:1-11.

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2017Mexican real wages and the U.S. economy. (2017). Mollick, Andre ; Cabral, Rene. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:141-152.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2018Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:301-309.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53.

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2018Are business and credit cycles synchronised internally or externally?. (2018). Kurowski, Ukasz ; Rogowicz, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:124-141.

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2018Fiscal policy within the DSGE-VAR framework. (2018). Franta, Michal ; Babecký, Jan ; Ryanek, Jakub . In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:23-37.

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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019Economic policy uncertainty in the US and China and their impact on the global markets. (2019). Zhang, Dayong ; Ji, Qiang ; Lei, Lei ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:47-56.

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2017The 2016 U.S. presidential election and the Stock, FX and VIX markets. (2017). Shaikh, Imlak. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:546-563.

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2018OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach. (2018). GUPTA, RANGAN ; Yoon, Seong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214.

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2019The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Volkman, David A ; Risse, Marian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:391-405.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data. (2019). Huang, Chia-Hsing ; Meng, Xiangcai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:131-148.

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2019Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. (2019). Camilleri, Silvio ; Bai, YE ; Scicluna, Nicolanne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:170-186.

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2019Understanding stock market volatility: What is the role of U.S. uncertainty?. (2019). Yin, Libo ; Fang, Tong ; Su, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:582-590.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2018Geopolitical risks and stock market dynamics of the BRICS. (2018). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:2:p:295-306.

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2017An integer programming approach for fuzzy rule-based classification systems. (2017). Derhami, Shahab ; Smith, Alice E. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:924-934.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2018Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function. (2018). Zhang, Yue-Jun ; Chen, Ming-Ying. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:64-78.

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2018Robust and sparse banking network estimation. (2018). Torri, Gabriele ; Paterlini, Sandra ; Giacometti, Rosella. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:51-65.

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2019To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from Virtual Globes and its rate of diffusion in a financial market. (2019). , Johnnie ; Ma, Tiejun ; Sung, Ming-Chien ; Green, Lawrence . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:226-239.

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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2017Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production. (2017). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:536-546.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2017The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective. (2017). Ji, Qiang ; Geng, Jiang-Bo ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:98-110.

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2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression. (2017). You, Wanhai ; Tang, Yong ; Zhu, Huiming ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:1-18.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2018What drives natural gas prices in the United States? – A directed acyclic graph approach. (2018). Ji, Qiang ; Geng, Jiang-Bo ; Zhang, Hai-Ying . In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:79-88.

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2018Date stamping historical periods of oil price explosivity: 1876–2014. (2018). GUPTA, RANGAN ; Caspi, Itamar ; Katzke, Nico . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:582-587.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Connectedness network and dependence structure mechanism in green investments. (2018). Lundgren, Amanda Ivarsson ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Milicevic, Adriana. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:145-153.

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2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126.

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2019The asymmetric response of gasoline prices to oil price shocks and policy uncertainty. (2019). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:66-79.

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2019Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2019The time-varying linkages between global oil market and Chinas commodity sectors: Evidence from DCC-GJR-GARCH analyses. (2019). Jiang, Yonghong ; Mo, Bin ; Nie, HE. In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:577-586.

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2019Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI. (2019). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:900-916.

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2019Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests. (2019). Chen, Cuiqiong ; Mo, Bin ; Jiang, Yonghong ; Nie, HE. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:234-251.

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2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. (2019). Naji, Jalkh ; Elie, Bouri ; Uddin, Gazi Salah ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:544-553.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Roubaud, David ; Ji, Qiang ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

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2018Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:246-256.

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2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:117-133.

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2019Is Bitcoin a better safe-haven investment than gold and commodities?. (2019). lucey, brian ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Roubaud, David ; Bouri, Elie ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:322-330.

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2017Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test. (2017). Balcilar, Mehmet ; Babalos, Vassilios. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:126-131.

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2017Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework. (2017). Sun, Xiaolei ; Wang, Jun ; Yao, Xiaoyang . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:214-221.

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2017How EPU drives long-term industry beta. (2017). Yu, Honghai ; Yan, Panpan ; Du, Donglei ; Fang, Libing. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:249-258.

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2017Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Assaf, Ata ; Jammazi, Rania. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:23-30.

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2018Comovements of gold futures markets and the spot market: A wavelet analysis. (2018). Tiwari, Aviral ; Roubaud, David ; Jena, Sangram Keshari. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:19-24.

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2018The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach. (2018). Wohar, Mark ; Muteba Mwamba, John Weirstrasd ; GUPTA, RANGAN. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:131-136.

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2018Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach. (2018). Dash, Saumya Ranjan ; Maitra, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:32-39.

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2018On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach. (2018). Shahbaz, Muhammad ; Das, Debojyoti ; Hasim, Haslifah M ; Tiwari, Aviral Kumar ; Kumar, Surya Bhushan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:169-174.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2019Professional macroeconomic forecasts and Chinese commodity futures prices. (2019). Liu, Xiaoquan ; Jiang, Ying ; Guo, Ranran ; Ye, Wuyi ; Deschamps, Bruno. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:130-136.

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2018How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

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2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

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2018Can economic policy uncertainty predict stock returns? Global evidence. (2018). Bach, Dinh Hoang ; Tran, Vuong Thao ; Sharma, Susan Sunila. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:134-150.

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2018A new GARCH model with higher moments for stock return predictability. (2018). Narayan, Paresh Kumar ; Liu, Ruipeng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:93-103.

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2018Flash crash and policy uncertainty. (2018). I-Chun Tsai, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:248-260.

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2017Simple measures of market efficiency: A study in foreign exchange markets. (2017). Kitamura, Yoshihiro. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:1-16.

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2018Is food financialized? Yes, but only when liquidity is abundant. (2018). Oran, Adil ; Soytas, Ugur ; Ordu, Beyza Mina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:82-96.

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2017Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. (2017). Ratti, Ronald ; Pérez de Gracia, Fernando ; Kang, Wensheng . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:344-359.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018Currency downside risk, liquidity, and financial stability. (2018). Chulia, Helena ; Uribe, Jorge M ; Fernandez, Julian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:83-102.

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2018What drives economic policy uncertainty in the long and short runs: European and U.S. evidence over several decades. (2018). Saving, Jason ; Duca, John. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:128-145.

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2019Bayesian forecast combination in VAR-DSGE models. (2019). Li, Xue ; Chin, Kuo-Hsuan. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:278-298.

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2018On the spot-futures relationship in crude-refined petroleum prices: New evidence from an ARDL bounds testing approach. (2018). Arfaoui, Mongi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:11:y:2018:i:c:p:48-58.

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2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. (2017). Soytas, Ugur ; Sarı, Ramazan ; Gormus, Alper ; Sari, Ramazan ; Kocaarslan, Baris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:41-56.

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2017Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Ali, Azwadi ; Raza, Naveed ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.

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2017Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. (2017). Mensi, walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102.

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More than 100 citations found, this list is not complete...

Works by Stelios Bekiros:

YearTitleTypeCited
2006Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper8
2008Direction-of-change forecasting using a volatility-based recurrent neural network.(2008) In: Journal of Forecasting.
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2006Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models In: CeNDEF Working Papers.
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2007The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing In: CeNDEF Working Papers.
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2008The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing.(2008) In: Journal of Macroeconomics.
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2007The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper120
2008The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality.(2008) In: Energy Economics.
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2009Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models In: CeNDEF Working Papers.
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2017Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets In: International Review of Finance.
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2018PITFALLS IN CROSS‐SECTION STUDIES WITH INTEGRATED REGRESSORS: A SURVEY AND NEW DEVELOPMENTS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article0
2015Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2014Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model.(2014) In: Open Access publications.
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2015Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article12
2014Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area.(2014) In: Working Papers.
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2017Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach In: Studies in Nonlinear Dynamics & Econometrics.
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2018Forecasting Inflation Uncertainty in the G7 Countries In: CQE Working Papers.
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2018Forecasting Inflation Uncertainty in the G7 Countries.(2018) In: Econometrics.
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2015MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS In: Macroeconomic Dynamics.
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2015Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs.(2015) In: Open Access publications.
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2014Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models In: Computational Statistics & Data Analysis.
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2014Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models.(2014) In: Open Access publications.
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2010Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach In: Journal of Economic Dynamics and Control.
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2018Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare In: Journal of Economic Dynamics and Control.
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2014Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area In: Economic Modelling.
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2016Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach In: Economic Modelling.
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2018Directional predictability and time-varying spillovers between stock markets and economic cycles In: Economic Modelling.
[Full Text][Citation analysis]		article2
2018Directional predictability and time-varying spillovers between stock markets and economic cycles.(2018) In: Post-Print.
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2014Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets In: The North American Journal of Economics and Finance.
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2016On economic uncertainty, stock market predictability and nonlinear spillover effects In: The North American Journal of Economics and Finance.
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2015On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects.(2015) In: Working Papers.
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2017Herding behavior, market sentiment and volatility: Will the bubble resume? In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2009A robust algorithm for parameter estimation in smooth transition autoregressive models In: Economics Letters.
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2015Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach In: Economics Letters.
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2015Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach.(2015) In: Working Papers.
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2015Oil price forecastability and economic uncertainty In: Economics Letters.
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2015Oil Price Forecastability and Economic Uncertainty.(2015) In: Working Papers.
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2015Oil Price Forecastability and Economic Uncertainty.(2015) In: Working Papers.
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2015Oil price forecastability and economic uncertainty.(2015) In: Open Access publications.
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2010Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2017Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets In: European Journal of Operational Research.
[Full Text][Citation analysis]		article15
2016Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets.(2016) In: MPRA Paper.
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2018Asymmetric linkages among the fear index and emerging market volatility indices In: Emerging Markets Review.
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2015Heuristic learning in intraday trading under uncertainty In: Journal of Empirical Finance.
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2014Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets In: International Review of Financial Analysis.
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2016Impact of speculation and economic uncertainty on commodity markets In: International Review of Financial Analysis.
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2018Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates In: International Review of Financial Analysis.
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2018Risk perception in financial markets: On the flip side In: International Review of Financial Analysis.
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2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis In: International Review of Financial Analysis.
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2016Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis In: Finance Research Letters.
[Full Text][Citation analysis]		article23
2015Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis.(2015) In: Working Papers.
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2018Risk transmitters and receivers in global currency markets In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2018Risk transmitters and receivers in global currency markets.(2018) In: Post-Print.
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2016Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs In: Journal of Financial Stability.
[Full Text][Citation analysis]		article1
2016Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs.(2016) In: Open Access publications.
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2016Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs.(2016) In: Working Papers.
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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets In: Journal of Financial Stability.
[Full Text][Citation analysis]		article2
2005Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article22
2016On the time scale behavior of equity-commodity links: Implications for portfolio management In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article14
2018A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article1
2018A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling.(2018) In: Post-Print.
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2014Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2011Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics.(2011) In: Economics Working Papers.
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2013The multiscale causal dynamics of foreign exchange markets In: Journal of International Money and Finance.
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2011The Multiscale Causal Dynamics of Foreign Exchange Markets.(2011) In: Economics Working Papers.
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2017Black swan events and safe havens: The role of gold in globally integrated emerging markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article14
2016Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets.(2016) In: MPRA Paper.
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2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios In: Resources Policy.
[Full Text][Citation analysis]		article11
2008The extreme-value dependence of Asia-Pacific equity markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article6
2017Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article3
2018The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2013Irrational fads, short-term memory emulation, and asset predictability In: Review of Financial Economics.
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2015THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD In: Working Papers.
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2015The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method.(2015) In: Working Papers.
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2017The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method.(2017) In: Empirical Economics.
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2011Nonlinear causality testing with stepwise multivariate filtering In: Economics Working Papers.
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2017Implications for banking stability and welfare under capital shocks and countercyclical requirements In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2014Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach In: Working Papers.
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2014Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model In: Working Papers.
[Full Text][Citation analysis]		paper15
2014Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models In: Working Papers.
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2013Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models.(2013) In: Working Papers.
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2016Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models.(2016) In: Journal of Forecasting.
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2014Timescale Analysis with an Entropy-Based Shift-Invariant Discrete Wavelet Transform In: Computational Economics.
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2018Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches In: Computational Economics.
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2017Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach In: Review of Behavioral Economics.
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2015A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices In: Working Papers.
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2016A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices.(2016) In: Applied Economics.
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2016Forecasting US GNP Growth: The Role of Uncertainty In: Working Papers.
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2016Chaos in G7 Stock Markets using Over One Century of Data: A Note In: Working Papers.
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2013Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets In: Working Paper series.
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2013Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model In: Working Paper series.
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2018Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets In: Annals of Operations Research.
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2013On the predictability of time-varying VAR and DSGE models In: Empirical Economics.
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2013On the predictability of time-varying VAR and DSGE models.(2013) In: Open Access publications.
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2013On the predictability of time-varying VAR and DSGE models.(2013) In: Open Access publications.
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2007A neurofuzzy model for stock market trading In: Applied Economics Letters.
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2007Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus In: Applied Financial Economics.
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2018Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach In: Applied Economics.
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2008Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index In: The European Journal of Finance.
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2017The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations In: Working Papers.
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2011Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs In: ERSA conference papers.
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