Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Achilleas Zapranis"'
Autor:
Petros Messis, Achilleas Zapranis
Publikováno v:
Managerial Finance, 2016, Vol. 42, Issue 2, pp. 54-73.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/MF-08-2014-0230
Publikováno v:
Journal of Behavioral Finance. 24:131-146
This paper investigates the consequences of herding on systematic and idiosyncratic risk for stocks traded on S&P 500. Herding behavior is measured through a state-space model. Using monthly data f...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::66831ddf2c405eaebafc2e10ad52c2ca
https://doi.org/10.1080/15427560.2021.1975713
https://doi.org/10.1080/15427560.2021.1975713
Publikováno v:
International Journal of Finance & Economics. 26:218-240
This paper presents an innovative approach in examining the conditional relationship between beta and returns for stocks traded on S&P 500 for the period from July 2001 to June 2011. We challenge other competitive models with portfolios formed based
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::92bce0a37ad5c590730df78e8b2de135
https://doi.org/10.1002/ijfe.1786
https://doi.org/10.1002/ijfe.1786
Autor:
Achilleas Zapranis, Petros Messis
Publikováno v:
Managerial Finance. 42:54-73
Purpose – The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/meth
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c7450b4cb2ec2b7ecf48b28545173cd
https://doi.org/10.1108/mf-08-2014-0230
https://doi.org/10.1108/mf-08-2014-0230
Autor:
Petros Messis, Achilleas Zapranis
Publikováno v:
The Journal of Risk Finance. 15:572-590
Purpose– This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility.Design/methodology/approach– Herding is examined over portfolios formed on beta a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::063ddb82d0b7d1f0921a001394ceff86
https://doi.org/10.1108/jrf-04-2014-0054
https://doi.org/10.1108/jrf-04-2014-0054
Autor:
Achilleas Zapranis, Petros Messis
Publikováno v:
Applied Economics. 46:4508-4518
This study uses a novel approach for capturing time variation in betas whose pattern is treated as a function of market returns. A two-factor model (TFM) is constructed using estimated coefficients of a nonlinear regression. The model is tested again
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::639bf553f69b56b38d1f11565b416e5e
https://doi.org/10.1080/00036846.2014.964833
https://doi.org/10.1080/00036846.2014.964833
Publikováno v:
Neural Networks. 42:1-27
Wavelet networks (WNs) are a new class of networks which have been used with great success in a wide range of applications. However a general accepted framework for applying WNs is missing from the literature. In this study, we present a complete sta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e3cc7f16c2ab8f9d857b4cacecafda2
https://doi.org/10.1016/j.neunet.2013.01.008
https://doi.org/10.1016/j.neunet.2013.01.008
Publikováno v:
Expert Systems with Applications. 39:6301-6308
This paper has two main purposes. The first one is the development of a rigorous rule-based mechanism for identifying the rounding bottoms (also known as saucers) pattern and resistant levels. The design of this model is based solely on principles of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::78feb913965e728247b746584017659b
https://doi.org/10.1016/j.eswa.2011.11.079
https://doi.org/10.1016/j.eswa.2011.11.079
Publikováno v:
Applied Financial Economics. 22:1571-1585
We propose a novel rule-based mechanism that identifies Horizontal Support And Resistance (HSAR) levels. The novelty of this system resides in the manner it encloses principles, found in well known technical manuals, used for the identification via v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1839a7a7c8e6fcbba29d46e578bed6b3
https://doi.org/10.1080/09603107.2012.663469
https://doi.org/10.1080/09603107.2012.663469
Publikováno v:
Neural Computing and Applications. 20:787-801
In this paper, we use wavelet neural networks in order to model a mean-reverting Ornstein–Uhlenbeck temperature process, with seasonality in the level and volatility and time-varying speed of mean reversion. We forecast up to 2 months ahead out of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9d38cb1f1bd48094495f9bfd00149692
https://doi.org/10.1007/s00521-010-0494-1
https://doi.org/10.1007/s00521-010-0494-1