Dimitris A. Georgoutsos

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The financial crisis of 2007-2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-Risk as a measure for potential risk of economic losses in financial markets by estimating VaR for daily stock returns with the application of various(More)
This paper investigates the nonlinear predictability of technical trading rules based on a recurrent neural network as well as a neurofuzzy model. The efficiency of the trading strategies was considered upon the prediction of the direction of the market in case of NASDAQ and NIKKEI returns. The sample extends over the period 2/8/1971–4/7/1998 while the(More)
In the present paper we examine interactions among five benchmark ten year government bonds, namely those of the US, Germany, France, Italy and the Netherlands. Our aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into account shifts in the underlying stochastic processes.(More)
In this paper we examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus we formulate sovereign bond yield spreads, for eleven EMU countries against the Bund for the period(More)
This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction of the market in the case of the NASDAQ general index. The sample extends over the period 2/8/1971 – 4/7/1998, while the sub-period 4/8/1998 – 2/5/ 2002 has been reserved for out-of-sample testing purposes. We(More)
Common stochastic trends among major international stock price indices has been a very intensively analyzed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange and three(More)
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