2017-2018, Stelios Bekiros, Amanda Dahlström, Oskar Ege, and Gazi Uddin

- Quantitative Methods in Finance.

November 2004, Gutenberg Publishers, ISBN: 9604021737


- Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare.

forthcoming Journal of Economic Dynamics and Control, 2018 (with R. Nilavongse and G. S. Uddin)

- The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis.

forthcoming Physica A: Statistical Mechanics and its Applications, 2018 (with G. S. Uddin and A. Ahmed)

- Pitfalls in Cross-Section studies with Integrated Regressors: A Survey and New Developments.

forthcoming Journal of Economic Surveys, 2017 (with Bo Sjö and Richard J. Sweeney)

- Tail-Related Risk Measurement and Forecasting In Equity Markets.

forthcoming Computational Economics, 2017 (with C. Avdoulas, N. Loukeris, I. Eleftheriadis)

- Risk Transmitters and Receivers in Global Currency Markets.

forthcoming Finance Research Letters, 2017 (with J. S. Shahzad, J-A. Hernandez and M. Rehman)

- Herding Behavior, Market Sentiment and Volatility: will the Bubble resume?

The North American Journal of Economics and Finance, 2017, Vol. 42, pp. 107-131 (with Brian Lucey, G. S. Uddin, M. Jlassi, K. Naoui)

- Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates.

forthcoming International Review of Financial Analysis, 2017 (with C. Avdoulas and C. Hassapis)

- Chaos, Randomness and Multi-Fractality in Bitcoin market.

forthcoming Chaos, Solitons & Fractals, 2017, (with S. Lahmiri)

- Revisiting the Three Factor Model in Light of Circular Behavioral Simultaneities

forthcoming Review of Behavioral Finance, 2017 (with N. Loukeris, I. Eleftheriadis and G. S. Uddin)

- Nonlinear Dynamics of Equity, Currency and Commodity Markets in the aftermath of the global financial crisis.

Chaos, Solitons & Fractals, 2017, Vol 103, pp. 342-346 (with S. Lahmiri and G. S. Uddin)

- Directional Predictability and Time-Varying Spillovers between Stock Markets and Economic Cycles.

forthcoming Economic Modeling, 2017 (with J. S. Shahzad, J-A. Hernandez and M. Rehman)

- Clustering of Short and Long-Term Co-Movements in International Financial and Commodity Markets in Wavelet Domain.

Physica A: Statistical Mechanics and its Applications, 2017, Vol. 486, 15 pp. 947-955 (with S. Lahmiri and G. S. Uddin)

- Disturbances and Complexity in Volatility Time Series.

forthcoming Chaos, Solitons & Fractals, 2017 (with S. Lahmiri)

- Nonlinear Forecasting of Euro Area Industrial Production using Evolutionary approaches.

Computational Economics, 2017, pp. 1-10 (with C. Avdoulas)

- The Asymmetric Relationship between Returns and Implied Volatility: Evidence from Global Stock Markets.

Journal of Financial Stability, 2017, Vol 30, pp. 156-174 (with M. Jlassi, K.Naoui, G. S. Uddin)

- Portfolio Optimization with investor utility preference of higher-order moments: A behavioral approach.

forthcoming Review of Behavioral Economics, 2017 (with N. Loukeris and I. Eleftheriadis)

- Forecasting US GNP Growth: the Role of Uncertainty.

forthcoming Journal of Forecasting, 2017 (with M. Segnon, R. Gupta, M. E. Wohar)

- Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach.

Studies in Nonlinear Dynamics & Econometrics, 2017, Vol 21, 3, (with Ahmed T. Muzaffar, Gazi S. Uddin and Javier Vidal-García)

- Black Swan events and Safe Havens: the role of Gold in Globally Integrated Emerging Markets.

Journal of International Money and Finance, 2017, Vol 73, Part B, pp. 317-334 (with S. Boubaker, D. Nguyen and G. S. Uddin)

- The Multi-Scale Time-Varying Asymmetric Interdependence between Gold Market and the BRICS.

- Working Paper, 2015 with G.S. Uddin (Linköping University) and D. K. Nguyen (IPAG Business School)

- Money Supply and Inflation Dynamics in Asia-Pacific Economies: A Time-Frequency Approach.

- Working Paper, 2015 with G.S. Uddin (Linköping University), A. T. Muzaffar (University of Western Sydney) and Javier Vidal-Garcia (University of Valladolid)

- Maximizing Business Performance and Efficiency Through Intelligent Systems.

February 2017, IGI Global, with Marta Vidal and Javier Vidal-García, in Eds. Om Prakash Rishi & Anukrati Sharma, ISBN: 9781522522348


- Information Diffusion, Cluster Formation and Entropy-Based Network Dynamics in Equity and Commodity Markets.

European Journal of Operational Research, 2017, Vol 256, 3, pp. 945-961 (with D. Nguyen, L. Sandoval and G. Uddin)

- Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs.

ERSA conference papers, No. ersa10p479, 2011 (with T. Tsekeris and K. Vogiatzoglou)

- Extreme Dependence under Uncertainty: An Application to Stock, Currency and Oil Markets.

International Review of Finance, 2017, Volume 17, Issue 1, pp. 155–162 (with G. Uddin)

- Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs.

Journal of Financial Stability, 2016, 26, pp. 216-227 (with R. Cardani, A. Paccagnini and S. Villa), DOI: 10.1016/j.jfs.2016.07.006

- Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets.

European Journal of Operational Research, Vol 202, 1, pp. 285–293, 2010

- On the time scale behavior of Equity-Commodity links: Implications for portfolio management.

- IPAG Working Paper, 2014 with G.S. Uddin (Linköping University), D. K. Nguyen (IPAG Business School), Bo Sjö (Linköping University)


- Policy-Oriented Macroeconomic Forecasting with Hybrid DGSE and Time-Varying Parameter VAR Models.

forthcoming, Journal of Forecasting, 2016 (with A. Paccagnini), doi:10.1002/for.2401

- Heuristic Learning in Intraday Trading under Uncertainty.

Journal of Empirical Finance,  Vol. 30, pp.34-49, 2015

- Incorporating Economic Policy Uncertainty in US Equity Premium Models: a Nonlinear Predictability Analysis.

Finance Research Letters, Vol.18, pp. 291–296, 2016 (with R. Gupta and A. Majumdar)

- Sign prediction and volatility dynamics with hybrid neurofuzzy approaches.

IEEE Transactions on Neural Networks and Learning Systems (IEEE-TNNLS), Vol 22, 12, pp. 2353-2362, 2011

- Irrational fads, Short-term memory emulation and asset predictability.

Review of Financial Economics Vol 22, pp. 213-219, 2013

- Detecting Nonlinear interdependencies in Eurozone Peripheral Equity Markets: A multistep filtering approach.

Economic Modelling, Vol. 58, pp. 580–587. 2016, DOI: 10.1016/j.econmod.2016.02.001 (with C. Avdoulas and S. Boubaker)

- A Nonlinear approach for Predicting Stock Returns and Volatility with the use of Investor Sentiment Indices.

Applied Economics, pp.  2895-2898, 2016 (with R. Gupta and C. Kyei), doi:10.1080/00036846.2015.1130793

- On the Time Scale Behavior of Equity-Commodity Links: Implications for Portfolio Management.

Journal of International Financial Markets, Institutions and Money, Vol. 41, pp. 30–46, 2016 (with D. Nguyen, G. Uddin, B. Sjö)

- Evolutionary-Based Return Forecasting with Nonlinear STAR Models: Evidence from the Eurozone Peripheral Stock Markets.

Annals of Operations Research, pp. 1-27, 2016, doi: 10.1007/s10479-015-2078-z (with C. Avdoulas and S. Boubaker) 


- The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method.

Empirical Economics, pp. 1-11, 2016 (with M. Balciliar and R. Gupta), DOI: 10.1007/s00181-016-1150-0

- On Economic Uncertainty, Stock market Predictability and Nonlinear Spillover Effects.

The North American Journal of Economics and Finance, Vol. 36, pp. 184-191, 2016 (with R. Gupta and C. Kyei)

- Impact of Speculation and Economic Uncertainty on Commodity Markets.

International Review of Financial Analysis, Vol 43, pp. 115-127, 2016 (with P. Andreasson, D.K. Nguyen and  G. Uddin)

- Oil Price Forecastability and Economic Uncertainty.

Economics Letters, Vol 132, pp. 125-128, 2015 (with R. Gupta and A. Paccagnini)

- Multivariate Dependence Risk and Portfolio Optimization: an application to Mining Stock Portfolios.

Resources Policy, Vol 46 (2), pp. 1-11, 2015 (with S. Hammoudeh, J. A. Hernandez and D. Nguyen)

- Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area.

Studies in Nonlinear Dynamics & Econometrics, Vol 19 (5), pp. 609-624, 2015 (with G. Uddin, D. Nguyen, B. Sjö)

- The multiscale causal dynamics of foreign exchange markets.

Journal of International Money and Finance, Vol. 33, pp. 282-3052013 (with Massimiliano Marcellino)

- Estimating point and density forecasts for the US Economy with a Factor-Augmented Vector Autoregressive DSGE model.

Studies in Nonlinear Dynamics & Econometrics, Vol. 19 (2), pp. 1-30, 2015 (with A. Paccagnini)

- The Multiscale Causal Dynamics of Foreign Exchange Markets.

with M. Marcellino, EUI ECO Working paper, 2011/23

- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models.

Computational Statistics and Data Analysis, Vol 71, pp. 298-323, 2014 (with A. Paccagnini)


- Nonlinear Causality testing with Stepwise Multivariate Filtering: Evidence from Stock and Currency Markets.

The North American Journal of Economics and Finance Vol 29, pp. 336-348, 2014

- On the predictability of time-varying VAR and DSGE models.

Empirical Economics, Vol 45 (1), pp. 635-664, 2013 (with A. Paccagnini)

- The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing.

Journal of Macroeconomics, Vol 30, No 4, pp. 1641-1650, 2008 (with C.G.H. Diks)

- Direction-of-change forecasting using a Volatility based Recurrent Neural Network.

Journal of Forecasting, Vol 27, 5, pp. 407-417, 2008 (with D. Georgoutsos)

- Nonlinear dynamics in financial asset returns: The predictive power of CBOE Volatility Index.

European Journal of Finance, Vol 14, 5, pp. 397-408, 2008 (with D. Georgoutsos)

- Estimation of Value-at-Risk by Extreme Value and Conventional Methods: a comparative evaluation of their predictive performance.

Journal of International Financial Markets, Institutions and Money, Vol 15, No 3, pp. 209-228, 2005 (with D. Georgoutsos) leading article

- A Neurofuzzy Model for Stock Market Trading.

Applied Economics Letters, Vol 14, No 1, pp. 53 - 57, 2007

- Extreme Returns and the Contagion Effect between the Foreign Exchange and the Stock Market: Evidence from Cyprus.

Applied Financial Economics, Vol 18, 3, pp. 239-254, 2008 (with D. Georgoutsos)

- Correlation breakdown and extreme dependence in emerging equity markets.

with D. Georgoutsos, EUI MWP Working paper, 2009/18

- Evaluating direction-of-change forecasting: Neurofuzzy Models vs. Neural Networks.

Mathematical and Computer Modelling, Vol 46, pp.38-46, 2007 (with D. Georgoutsos)

- The Extreme-Value Dependence of Asia-Pacific Equity Markets.

Journal of Multinational Financial Management, Vol 18, pp. 197-208, 2008 (with D. Georgoutsos)

- Comparative Evaluation of Technical Trading Rules: Neurofuzzy Models vs. Recurrent Neural Networks.

Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE), Vsp/Brill, Vol 1, pp. 961-963, 2004 (with D. Georgoutsos)

- Is the Correlation in International Equity Markets Constant?

Proceedings of the 6th Hellenic European Conference on Computer Mathematics and its Applications (HERCMA), Vol 1, pp. 21-22, 2003 (with D. Georgoutsos)





No year

- The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing.

with C.G.H. Diks, CeNDEF Working paper 07-08, University of Amsterdam

- Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network.

with D. Georgoutsos, CeNDEF Working paper 06-16, University of Amsterdam

- Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models.

with D. Georgoutsos, CeNDEF Working paper 06-17, University of Amsterdam