Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Catherine Kyrtsou"'
Publikováno v:
Entropy, Vol 22, Iss 10, p 1139 (2020)
In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffus
Externí odkaz:
https://doaj.org/article/44b85064ea9844d989ef668c8c583c49
Publikováno v:
PLoS ONE, Vol 12, Iss 7, p e0180852 (2017)
Different resampling methods for the null hypothesis of no Granger causality are assessed in the setting of multivariate time series, taking into account that the driving-response coupling is conditioned on the other observed variables. As appropriat
Externí odkaz:
https://doaj.org/article/0a5b025d16034194bc0f671ae0f60cfb
Publikováno v:
Entropy, Vol 15, Iss 7, Pp 2635-2661 (2013)
Measures of the direction and strength of the interdependence among time series from multivariate systems are evaluated based on their statistical significance and discrimination ability. The best-known measures estimating direct causal effects, both
Externí odkaz:
https://doaj.org/article/ace8ff2c988d46cda0477b6daf8c2f85
Autor:
Catherine Kyrtsou
CPI inflation is subject to structural changes and exogeneous shocks that can have a significant impact to its dynamic evolution. The observed interaction between the intrinsic side of inflation dynamics and the disturbances fuels a rich spectrum of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6cbcc38a07fbb526d25acb919e86a00b
https://doi.org/10.52903/wp2023311
https://doi.org/10.52903/wp2023311
Publikováno v:
Empirical Economics.
The standard linear Granger causality test, based on the vector autoregressive model (VAR), requires stationarity of the time series. A VAR model is fitted to the first-differences of the time series, when they exhibit trends and are not co-integrate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4a22a2fb1e3f7f12eb699e41b6491a84
https://doi.org/10.1007/s00181-022-02275-9
https://doi.org/10.1007/s00181-022-02275-9
Publikováno v:
The European Journal of Finance. 25:1402-1419
In the aim to explore the complex relationships between S&P500, VIX and volume we introduce a Granger causality test using the nonlinear statistic of Asymmetric Partial Transfer Entropy (AP...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da37cd17c4603903e648d4fd7cbc6cd2
https://doi.org/10.1080/1351847x.2019.1599406
https://doi.org/10.1080/1351847x.2019.1599406
Autor:
Didier Sornette, Catherine Kyrtsou
Publikováno v:
New Facets of Economic Complexity in Modern Financial Markets ISBN: 9780429198557
New Facets of Economic Complexity in Modern Financial Markets
New Facets of Economic Complexity in Modern Financial Markets
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea20e6488ec0fb731f5b7325e6e2cfdb
https://doi.org/10.4324/9780429198557-1
https://doi.org/10.4324/9780429198557-1
Publikováno v:
Physica A: Statistical Mechanics and its Applications, 482, 65-73. Elsevier
Connectivity analysis is performed on a long financial record of 21 international stock indices employing a linear and a nonlinear causality measure, the conditional Granger causality index (CGCI) and the partial mutual information on mixed embedding
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::04e3ab25154c2b779f25145f8463b9fa
https://doi.org/10.1016/j.physa.2017.04.046
https://doi.org/10.1016/j.physa.2017.04.046
Publikováno v:
Energy Economics. 56:239-246
Taking the complex property of nonlinear feedback connectivity into consideration, the goal of this paper is to apprehend the interdependences between the financial and energy sectors. Our contribution is both theoretical and methodological. We condu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b55a11390956211254eef403ec5fae6
https://doi.org/10.1016/j.eneco.2016.02.001
https://doi.org/10.1016/j.eneco.2016.02.001
Publikováno v:
International Journal of Bifurcation and Chaos. 29:1950012
In this paper, we further study the dynamics of the Kyrtsou model composed of heterogeneous nonlinear feedback rules. For various levels and types of underlying nonlinearity, we analyze the resulting time series by means of the largest Lyapunov expon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85a46dadb39bc202f925851f4c8669a3
https://doi.org/10.1142/s0218127419500123
https://doi.org/10.1142/s0218127419500123