Publications

Books

- Quantitative Methods in Finance.

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

Articles

- The multiscale causal dynamics of foreign exchange markets.

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

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

forthcoming in Review of Financial Economics, 2013

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

forthcoming in Computational Economics, 2013

- 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

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

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

- Sign prediction and volatility dynamics with hybrid neurofuzzy approaches.

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

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

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

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

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

- 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

- 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

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

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

- 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

- 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

- 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, 2003, with D. Georgoutsos

Reviews

--------------- [In all Journals multiple times]----------------.
Macroeconomic Dynamics.
International Journal of Forecasting.

Journal of Banking and Finance.
Computational Economics.
Empirical Economics.
Journal of Economic Surveys.
Journal of Empirical Finance.
IEEE Transactions on Neural Networks.
Quantitative Finance.
European Journal of Finance.
The Energy Journal.
European Journal of Operational Research.
Computational Statistics & Data Analysis.
Journal of Economic Dynamics & Control.
Energy Economics.
Journal of International Financial Markets, Institutions and Money.
Review of Financial Economics.
Applied Economics Letters.
International Review of Economics and Finance.
Studies in Nonlinear Dynamics & Econometrics.
Emerging Markets Finance and Trade Journal.
Global Finance Journal.
Asia Pacific Management Review.
Journal of Electromagnetic Waves and Applications .
Progress In Electromagnetics Research.
Journal of Asia Business Studies.
Applied Mathematical Modelling.
Mathematics and Computers in Simulation.
Digital Signal Processing.

Working papers

- Nonlinear causality testing with stepwise multivariate filtering.

EUI ECO Working paper, 2011/22

- The Multiscale Causal Dynamics of Foreign Exchange Markets.

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

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

EUI ECO Working paper, 2011/21

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

CeNDEF working paper 09-15, University of Amsterdam

- Correlation breakdown and extreme dependence in emerging equity markets.

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

- 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

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

with D. Georgoutsos, CeNDEF Working paper 06-17, 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

- 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 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