Stelios D. Bekiros

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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)
Reliable forecasting techniques for financial applications are important for investors either to make profit by trading or hedge against potential market risks. In this paper the efficiency of a trading strategy based on the utilization of a neurofuzzy model is investigated, in order to predict the direction of the market in case of FTSE100 and New York(More)
This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset mining (gold and iron ore-nickel) sector portfolios from the(More)
Advanced Bayesian methods are employed in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models , these are typically too stylized to be taken directly to the data and often yield weak prediction results. Hybrid models can deal with some of the DSGE model(More)
The present study investigates the linear and nonlinear causal linkages in exchange, equity and derivatives markets. Specifically, in case of exchange markets, among six currencies denoted relative to United States dollar (USD), namely EUR, GBP, JPY, CHF, AUD and CAD. The prime motivation for choosing these exchange rates comes from the fact that they are(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)
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