WorldCat Identities

Bekiros, Stelios

Overview
Works: 18 works in 22 publications in 1 language and 34 library holdings
Roles: Author, Other
Publication Timeline
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Most widely held works by Stelios Bekiros
Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs by Stelios Bekiros( Book )

4 editions published between 2015 and 2016 in English and held by 6 WorldCat member libraries worldwide

In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awareness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of the structural parameters shows that time-variation should be crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities of the economy, we propose a novel time-varying parameter (TVP) state-space estimation method for VAR processes both for homoskedastic and heteroskedastic error structures. We conduct an exhaustive empirical exercise to compare the out-of-sample predictive performance of the estimated DSGE model with that of standard ARs, VARs, Bayesian VARs and TVP-VARs. We find that the TVP-VAR provides the best forecasting performance for the series of GDP and net worth of financial intermediaries for all steps-ahead, while the DSGE model outperforms the other specifications in forecasting inflation and the federal funds rate at shorter horizons
The effectiveness of forward guidance in an estimated DSGE model for the Euro area : the role of expectations by Roberta Cardani( Book )

1 edition published in 2017 in English and held by 5 WorldCat member libraries worldwide

Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets by Christos Avdoulas( )

1 edition published in 2015 in English and held by 2 WorldCat member libraries worldwide

Dealing with financial instability under a DSGE modeling approach with banking intermediation a predictability analysis versus TVP-VARs by Stelios Bekiros( )

2 editions published between 2015 and 2016 in English and held by 2 WorldCat member libraries worldwide

In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of the structural parameters shows that time-variation should be crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities of the economy, we propose a novel time-varying parameter (TVP) state-space estimation method for VAR processes both for homoskedastic and heteroskedastic error structures. We conduct an exhaustive empirical exercise to compare the out-of-sample predictive performance of the estimated DSGE model with that of standard ARs, VARs, Bayesian VARs and TVP-VARs. We find that the TVP-VAR provides the best forecasting performance for the series of GDP and net worth of financial intermediaries for all steps-ahead, while the DSGE model outperforms the other specifications in forecasting inflation and the federal funds rate at shorter horizons
Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets by Sang Hoon Kang( )

1 edition published in 2019 in English and held by 2 WorldCat member libraries worldwide

Tail-Related Risk Measurement and Forecasting in Equity Markets by Stelios Bekiros( )

1 edition published in 2017 in English and held by 2 WorldCat member libraries worldwide

The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method by Mehmet Balcilar( )

1 edition published in 2016 in English and held by 2 WorldCat member libraries worldwide

Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches by Stelios Bekiros( )

1 edition published in 2018 in English and held by 2 WorldCat member libraries worldwide

The influence of energy consumption and democratic institutions on output and CO2 emissions in Bangladesh: a time-frequency approach by Ali Ahmed( )

1 edition published in 2018 in English and held by 2 WorldCat member libraries worldwide

Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches by Christos Avdoulas( )

1 edition published in 2017 in English and held by 2 WorldCat member libraries worldwide

Pitfalls in Cross-Section Studies with integrated Regressors: Survey and New Developments by Stelios Bekiros( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting "unbalanced regression." A spuriously significant relationship may be found in large cross sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments and applications in finance
Nonlinear causality testing with stepwise multivariate filtering by Stelios Bekiros( )

1 edition published in 2011 in English and held by 1 WorldCat member library worldwide

Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets( )

1 edition published in 2016 in English and held by 1 WorldCat member library worldwide

Abstract: We explore the impact of uncertainty on financial markets in the aftermath of the global financial crisis. In particular, we investigate the temporal dynamics of the dependence structure of stock, currency and oil markets in the United States using a nonparametric copula approach. Policy uncertainty is modeled via the EPU index of Baker et al. (2013). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty
Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics by Stelios Bekiros( )

1 edition published in 2011 in English and held by 1 WorldCat member library worldwide

The multiscale causal dynamics of foreign exchange markets by Stelios Bekiros( )

1 edition published in 2011 in English and held by 1 WorldCat member library worldwide

Forecasting inflation uncertainty in the G7 countries by Mawuli Kouami Segnon( )

1 edition published in 2018 in English and held by 1 WorldCat member library worldwide

Multi-regional agent-based modeling of household and firm location choices with endogenous transport costs by Theodōros Tsekerēs( )

1 edition published in 2010 in English and held by 1 WorldCat member library worldwide

The paper describes a spatial economic agent-based model (ABM), consistent with the principles of new economic geography (NEG), which allows the discrete-time evolutionary simulation of complex interactions of household and firm location choices. In contrast with the current ABM approaches, it considers a multi-regional (multi-urban) setting to enable a more realistic representation of decisions related to commuting, migration and household and employment location. The model allows simulating spatially differentiated, multi-commodity markets for land and labor in a system of cities and the behavior of profit-maximizing firms with multi-regional asset investment decisions, incorporating endogenous intra- and inter-urban transport costs with congestion effects. It also accounts for the impact of industrial and urban agglomeration forces on location choices and the formation of urban development patterns. Other features include the representation of the actions of central and local government agents to address issues of territorial development, efficiency and equity. The simulation set-up and evolutionary analysis of the spatial ABM are presented and several implications are discussed with regard to the possible outcomes of a set of policy interventions
Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit by Syed Jawad Hussain Shahzad( )

1 edition published in 2019 in English and held by 0 WorldCat member libraries worldwide

 
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Audience level: 0.93 (from 0.86 for Dealing wi ... to 1.00 for Dealing wi ...)

Languages
English (22)