Publications

- A Neurofuzzy Model for Stock Market Trading.

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

- A Robust algorithm for parameter estimation in Smooth Transition Autoregressive models.

Economics Letters, Vol 103, 1, pp.36-38, 2009

- Assessing the Relationship between Implied Volatility Indexes and Stock Index Returns with the application of Nonlinear Regime- Switching Econometric models.

with D. Georgoutsos, CeNDEF - UvA / AUEB Working paper

- Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models.

CeNDEF working paper 09-15, University of Amsterdam

- 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

- Correlation breakdown and extreme dependence in emerging equity markets.

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

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

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

- 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

- 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

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

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

- Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics.

EUI ECO Working paper, 2011/21

- 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

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

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

- Heterogeneous Trading Strategies with Adaptive Fuzzy Actor-Critic Reinforcement Learning: a Behavioral Approach.

Journal of Economic Dynamics and Control, Vol 34, 6, pp. 1153-1170, 2010

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

forthcoming in Review of Financial Economics, 2013

- Is the Correlation in International Equity Markets Constant?

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

- Nonlinear causality testing with stepwise multivariate filtering.

EUI ECO Working paper, 2011/22

- 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

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

Empirical Economics, DOI 10.1007/s00181-012-0623-z, 2012, with A. Paccagnini

- Quantitative Methods in Finance.

November 2004, Part III, Gutenberg Publishers, ISBN: 960-402-173-7

- Sign prediction and volatility dynamics with hybrid neurofuzzy approaches.

IEEE Transactions on Neural Networks (IEEE-TNN), Vol 22, 12, pp. 2353-2362, 2011

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

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

- The Multiscale Causal Dynamics of Foreign Exchange Markets.

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

- The multiscale causal dynamics of foreign exchange markets.

Journal of International Money and Finance, Vol. 33, pp. 282-305, 2013, with Massimiliano Marcellino

- 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

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

Journal of Macroeconomics, Vol 30, 4, pp. 1641-1650, 2008, with C.G.H. Diks

- The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality.

with C.G.H. Diks, CeNDEF Working paper 07-11, University of Amsterdam

- The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality.

Energy Economics, Vol 30, 5, pp. 2673-2685, 2008, with C.G.H. Diks

- Timescale Analysis with an Entropy-based Shift-Invariant Discrete Wavelet Transform.

forthcoming in Computational Economics, 2013

--------------- [In all Journals multiple times]----------------.
Applied Economics Letters.
Applied Mathematical Modelling.
Asia Pacific Management Review.
Computational Economics.
Computational Statistics & Data Analysis.
Digital Signal Processing.
Emerging Markets Finance and Trade Journal.
Empirical Economics.
Energy Economics.
European Journal of Finance.
European Journal of Operational Research.
Global Finance Journal.
IEEE Transactions on Neural Networks.
International Journal of Forecasting.

International Review of Economics and Finance.
Journal of Asia Business Studies.
Journal of Banking and Finance.
Journal of Economic Dynamics & Control.
Journal of Economic Surveys.
Journal of Electromagnetic Waves and Applications .
Journal of Empirical Finance.
Journal of International Financial Markets, Institutions and Money.
Macroeconomic Dynamics.
Mathematics and Computers in Simulation.
Progress In Electromagnetics Research.
Quantitative Finance.
Review of Financial Economics.
Studies in Nonlinear Dynamics & Econometrics.
The Energy Journal.