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Catherine Kyrtsou

Personal Details

First Name:Catherine
Middle Name:
Last Name:Kyrtsou
Suffix:
RePEc Short-ID:pky4
http://catherinekyrtsou.wordpress.com
Prof. Catherine Kyrtsou University of Macedonia Department of Economics Egnatia str., 156 54006, Thessaloniki, GREECE

Affiliation

(47%) Department of Economics
University of Macedonia

Thessaloniki, Greece
http://www.uom.gr/index.php?tmima=3

:


RePEc:edi:deumagr (more details at EDIRC)

(47%) Bureau d'Économie Théorique et Appliquée (BETA)

Strasbourg, France
http://www.beta-umr7522.fr/

: +33 3 68 85 20 69
+33 3 68 85 20 70
PEGE. 61, Aven. de la Forêt-Noire 67000 Strasbourg
RePEc:edi:bestrfr (more details at EDIRC)

(6%) EconomiX
Université Paris Ouest-Nanterre la Défense (Paris X)

Nanterre, France
http://economix.fr/

:

200 Avenue de la République, Bât. G - 92001 Nanterre Cedex
RePEc:edi:modemfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2013. "Partial Symbolic Transfer Entropy," CeNDEF Working Papers 13-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Christos Kollias & Catherine Kyrtsou & Stephanos Papadamou, 2011. "The Effects of Terrorism and War on the Oil and Prices Stock Indices Relationship," Economics of Security Working Paper Series 57, DIW Berlin, German Institute for Economic Research.
  3. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
  4. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.
  5. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).
  6. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
  7. Catherine Kyrtsou & Michel Terraza, 2000. "Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange," Computing in Economics and Finance 2000 Z226, Society for Computational Economics.

Articles

  1. C. Kyrtsou & D. Sornette, 2013. "Editorial introduction: ‘new facets of the economic complexity in modern financial markets’," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 337-343, May.
  2. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.
  3. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
  4. Catherine Kyrtsou & Michel Terraza, 2010. "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, vol. 38(2), pages 325-345, April.
  5. Catherine Kyrtsou, 2010. "Introduction," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 165-167.
  6. Dimitrios Hristu-Varsakelis & Catherine Kyrtsou, 2010. "Testing for Granger Causality in the Presence of Chaotic Dynamics," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 323-327.
  7. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
  8. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
  9. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
  10. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
  11. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
  12. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
  13. Kyrtsou, Catherine & Palivos, Theodore, 2006. "Editorial introduction: Nonlinear macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 1-4, March.
  14. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
  15. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
  16. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, September.
  17. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.
  18. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
  19. Kyrtsou, C. & Terraza, V., 2000. "Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 3-16, July - De.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christos Kollias & Catherine Kyrtsou & Stephanos Papadamou, 2011. "The Effects of Terrorism and War on the Oil and Prices Stock Indices Relationship," Economics of Security Working Paper Series 57, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
    2. Elie Bouri & Riza Demirer & Rangan Gupta & Hardik A. Marfatia, 2017. "Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note," Working Papers 201743, University of Pretoria, Department of Economics.
    3. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012. "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series 66, DIW Berlin, German Institute for Economic Research.
    4. Chen, Junyi & Kibriya, Shahriar & Bessler, David A. & Price, Edwin C., 2015. "A Causal Exploration of Food Price Shocks and Conflict in Sudan," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 202612, Agricultural and Applied Economics Association.
    5. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.
    6. Chen, Junyi & Kibriya, Shahriar & Bessler, David & Price, Edwin, 2015. "A Causal Exploration of Conflict Events and Commodity Prices of Sudan," MPRA Paper 62461, University Library of Munich, Germany.

  2. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.

    Cited by:

    1. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    2. Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
    3. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    4. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
    5. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.

  3. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.

    Cited by:

    1. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2016. "Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 341-365, March.
    2. Marisa Faggini & Anna Parziale, 2016. "More than 20 years of chaos in economics," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 15(1), pages 53-69, June.
    3. Afshan, Sahar & Sharif, Arshian & Loganathan, Nanthakumar & Jammazi, Rania, 2018. "Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 225-244.
    4. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    5. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    6. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    7. Ben-Salha, Ousama & Hkiri, Besma & Aloui, Chaker, 2018. "Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach," Energy Economics, Elsevier, vol. 72(C), pages 75-96.
    8. Jammazi, Rania & Aloui, Chaker, 2015. "Environment degradation, economic growth and energy consumption nexus: A wavelet-windowed cross correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 110-125.
    9. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
    10. Aloui, Chaker & Jammazi, Rania, 2015. "Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 62-86.
    11. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    12. Sharif, Arshian & Jammazi, Rania & Raza, Syed Ali & Shahzad, Syed Jawad Hussain, 2017. "Electricity and growth nexus dynamics in Singapore : Fresh insights based on wavelet approach," Energy Policy, Elsevier, vol. 110(C), pages 686-692.

  4. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).

    Cited by:

    1. Bildirici, Melike E. & Turkmen, Ceren, 2015. "Nonlinear causality between oil and precious metals," Resources Policy, Elsevier, vol. 46(P2), pages 202-211.

Articles

  1. C. Kyrtsou & D. Sornette, 2013. "Editorial introduction: ‘new facets of the economic complexity in modern financial markets’," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 337-343, May.

    Cited by:

    1. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.

  2. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.

    Cited by:

    1. Avni Önder Hanedar & Elmas Yaldız Hanedar, 2017. "Ottoman stock returns during the Turco-Italian and Balkan Wars of 1910 -1914," Working Papers 2017/2, Turkish Economic Association.
    2. Hanedar, Avni Önder & Yaldız Hanedar, Elmas, 2017. "Stock market reactions to wars and political risks: A cliometric perspective for a falling empire," MPRA Paper 85600, University Library of Munich, Germany, revised 25 Mar 2018.
    3. Urquhart, Andrew & Hudson, Robert, 2016. "Investor sentiment and local bias in extreme circumstances: The case of the Blitz," Research in International Business and Finance, Elsevier, vol. 36(C), pages 340-350.
    4. Noguera-Santaella, José, 2016. "Geopolitics and the oil price," Economic Modelling, Elsevier, vol. 52(PB), pages 301-309.
    5. Antonakakis, Nikolaos & Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos, 2017. "Geopolitical risks and the oil-stock nexus over 1899–2016," Finance Research Letters, Elsevier, vol. 23(C), pages 165-173.
    6. Orbaneja, José R. Valdivia & Iyer, Subramanian R. & Simkins, Betty J., 2018. "Terrorism and oil markets: A cross-sectional evaluation," Finance Research Letters, Elsevier, vol. 24(C), pages 42-48.
    7. Tantisantiwong, Nongnuch & Halari, Anwar & Helliar, Christine & Power, David, 2018. "East meets West: When the Islamic and Gregorian calendars coincide," The British Accounting Review, Elsevier, vol. 50(4), pages 402-424.

  3. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.

    Cited by:

    1. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2016. "Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 341-365, March.
    2. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.
    3. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Working Papers hal-01282481, HAL.
    4. Emmanuel Anoruo, 2011. "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(3), pages 75-92, December.
    5. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2013. "Partial Symbolic Transfer Entropy," CeNDEF Working Papers 13-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    6. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Papers 1603.01231, arXiv.org.

  4. Catherine Kyrtsou & Michel Terraza, 2010. "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, vol. 38(2), pages 325-345, April.
    See citations under working paper version above.
  5. Dimitrios Hristu-Varsakelis & Catherine Kyrtsou, 2010. "Testing for Granger Causality in the Presence of Chaotic Dynamics," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 323-327.

    Cited by:

    1. Rashid, Abdul, 2010. "Testing for nonlinear causation between capital inflows and domestic prices," MPRA Paper 26082, University Library of Munich, Germany.
    2. Fernandez, Viviana, 2014. "Linear and non-linear causality between price indices and commodity prices," Resources Policy, Elsevier, vol. 41(C), pages 40-51.
    3. Abdul Rashid & Fazal Husain, 2010. "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers 22832, East Asian Bureau of Economic Research.

  6. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.

    Cited by:

    1. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2016. "Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 341-365, March.
    2. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.
    3. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    4. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    5. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    6. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
    7. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2013. "Partial Symbolic Transfer Entropy," CeNDEF Working Papers 13-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    8. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
    9. Karagianni, Stella & Pempetzoglou, Maria & Saraidaris, Anastasios, 2012. "Tax burden distribution and GDP growth: Non-linear causality considerations in the USA," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 186-194.
    10. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).

  7. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
    See citations under working paper version above.
  8. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.

    Cited by:

    1. Luís Aguiar-Conraria & Maria Joana Soares & Rita Sousa, 2017. "California´s Carbon Market and Energy Prices: A Wavelet Analysis," NIPE Working Papers 13/2017, NIPE - Universidade do Minho.
    2. Loretta Mastroeni & Pierluigi Vellucci, 2016. "“Butterfly Effect" vs Chaos in Energy Futures Markets," Departmental Working Papers of Economics - University 'Roma Tre' 0209, Department of Economics - University Roma Tre.
    3. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "U.S. shale oil production and WTI prices behaviour," Energy, Elsevier, vol. 141(C), pages 12-19.
    4. J. F. Li & Z. X. Lin, 2016. "Social benefit expenditures and stagflation: evidence from the United States," Applied Economics, Taylor & Francis Journals, vol. 48(55), pages 5340-5347, November.
    5. Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko, 2011. "RQA Application for the Monitoring of Financial and Commodity markets state," Papers 1112.0297, arXiv.org.
    6. Caraiani, Petre, 2013. "Testing for nonlinearity and chaos in economic time series with noise titration," Economics Letters, Elsevier, vol. 120(2), pages 192-194.
    7. Rita Sousa & Luís Aguiar-Conraria & Maria Joana Soares, 2014. "Carbon Financial Markets: a time-frequency analysis of CO2 price drivers," NIPE Working Papers 03/2014, NIPE - Universidade do Minho.
    8. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    9. Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Butterfly Effect" vs Chaos in Energy Futures Markets," Papers 1610.05697, arXiv.org.
    10. Liu, Tie-Ying & Lee, Chien-Chiang, 2018. "Will the energy price bubble burst?," Energy, Elsevier, vol. 150(C), pages 276-288.
    11. Luís Francisco Aguiar & Teresa Maria Rodrigues & Maria Joana Soares, 2012. "Oil Shocks and the Euro as an Optimum Currency Area," NIPE Working Papers 07/2012, NIPE - Universidade do Minho.
    12. William Barnett & Hajar Aghababa, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201602, University of Kansas, Department of Economics, revised Aug 2016.
    13. Rita Sousa & Luís Francisco Aguiar-Conraria & Maria Joana Soares, "undated". "Carbon and Energy Prices: Surfing the Wavelets of California," NIPE Working Papers 19/2014, NIPE - Universidade do Minho.
    14. Van Hoa, Tran & Limskul, Kitti, 2013. "Economic impact of CO2 emissions on Thailand's growth and climate change mitigation policy: A modelling analysis," Economic Modelling, Elsevier, vol. 33(C), pages 651-658.
    15. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
    16. Loretta Mastroeni & Pierluigi Vellucci, 2017. "“Chaos” In Energy And Commodity Markets: A Controversial Matter," Departmental Working Papers of Economics - University 'Roma Tre' 0218, Department of Economics - University Roma Tre.
    17. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
    18. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
    19. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    20. Chevallier, Julien, 2011. "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, vol. 33(6), pages 1267-1282.
    21. Luís Francisco Aguiar-Conraria & Teresa Maria Rodrigues & Maria Joana Soares, 2013. "Oil Shocks and the Euro as an Optimum Currency Area," NIPE Working Papers 01/2013, NIPE - Universidade do Minho.
    22. Sousa, Rita & Aguiar-Conraria, Luís & Soares, Maria Joana, 2014. "Carbon financial markets: A time–frequency analysis of CO2 prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 118-127.

  9. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.

    Cited by:

    1. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Nominal Exchange Rate Volatility? Evidence from the Latin American Countries," Discussion Paper Series 2010_10, Department of Economics, University of Macedonia, revised Jul 2010.
    2. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
    3. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
    4. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    5. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    6. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
    7. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Output Volatility? Evidence from the G3," Discussion Paper Series 2010_09, Department of Economics, University of Macedonia, revised Jul 2010.
    8. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    9. Sadek Melhem & Mahmoud Melhem, 2012. "Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”," Working Papers 12-13, LAMETA, Universitiy of Montpellier, revised Apr 2012.

  10. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.

    Cited by:

    1. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.
    2. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2018. "Does oil product pricing reform increase returns and uncertainty in the Chinese stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 23-30.
    3. Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
    5. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    6. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
    7. Rashid, Abdul, 2010. "Testing for nonlinear causation between capital inflows and domestic prices," MPRA Paper 26082, University Library of Munich, Germany.
    8. Fernandez, Viviana, 2014. "Linear and non-linear causality between price indices and commodity prices," Resources Policy, Elsevier, vol. 41(C), pages 40-51.
    9. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests," Working Papers 2014-299, Department of Research, Ipag Business School.
    10. Abdul Rashid & Fazal Husain, 2010. "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers 22832, East Asian Bureau of Economic Research.
    11. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    12. Xu Zhang & Xiaoxing Liu & Jianqin Hang & Dengbao Yao, 2018. "The dynamic causality between commodity prices, inflation and output in China: a bootstrap rolling window approach," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 407-425, January.
    13. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
    14. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
    15. Al-Khazali, Osamah & Bouri, Elie & Roubaud, David & Zoubi, Taisier, 2017. "The impact of religious practice on stock returns and volatility," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 172-189.

  11. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.

    Cited by:

    1. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
    2. Fabio Milani, 2009. "Expectations, Learning, and the Changing Relationship between Oil Prices and the Macroeconomy," Working Papers 080923, University of California-Irvine, Department of Economics.
    3. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Working Papers 2008_01, Durham University Business School.
    4. Sotoudeh, M-Ali & Worthington, Andrew C., 2016. "Estimating the effects of global oil market shocks on Australian merchandise trade," Economic Analysis and Policy, Elsevier, vol. 50(C), pages 74-84.
    5. Maria Pempetzoglou, 2014. "Electricity Consumption and Economic Growth: A Linear and Nonlinear Causality Investigation for Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 263-273.
    6. Saafi Sami & Farhat Abdeljelil & Haj Mohamed Meriem Bel, 2015. "Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 585-608, December.
    7. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    8. Bildirici, Melike E. & Turkmen, Ceren, 2015. "Nonlinear causality between oil and precious metals," Resources Policy, Elsevier, vol. 46(P2), pages 202-211.
    9. Beckmann, Joscha & Czudaj, Robert, 2012. "Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework," Ruhr Economic Papers 362, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    10. Jain, Anshul & Biswal, P.C., 2016. "Dynamic linkages among oil price, gold price, exchange rate, and stock market in India," Resources Policy, Elsevier, vol. 49(C), pages 179-185.
    11. Bouri, Elie & Jain, Anshul & Biswal, P.C. & Roubaud, David, 2017. "Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices," Resources Policy, Elsevier, vol. 52(C), pages 201-206.
    12. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
    13. Wang, Kuan-Min & Lee, Yuan-Ming & Thi, Thanh-Binh Nguyen, 2011. "Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model," Economic Modelling, Elsevier, vol. 28(3), pages 806-819, May.
    14. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    15. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    16. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
    17. Hany Fahmy, 2014. "Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 577-600, November.
    18. Ahdi Noomen Ajmi & Ghassen El Montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period," Working Papers 2014-79, Department of Research, Ipag Business School.
    19. Wang, Kuan-Min & Lee, Yuan-Ming, 2011. "The yen for gold," Resources Policy, Elsevier, vol. 36(1), pages 39-48, March.
    20. Azam, Muhammad & Khan, Abdul Qayyum & Zaman, Khalid & Ahmad, Mehboob, 2015. "Factors determining energy consumption: Evidence from Indonesia, Malaysia and Thailand," Renewable and Sustainable Energy Reviews, Elsevier, vol. 42(C), pages 1123-1131.
    21. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
    22. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    23. Sami Saafi & Meriem Bel Haj Mohamed & Abdeljelil Farhat, 2017. "Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 14(2), pages 265-301, December.
    24. Rashid, Abdul, 2010. "Testing for nonlinear causation between capital inflows and domestic prices," MPRA Paper 26082, University Library of Munich, Germany.
    25. Fernandez, Viviana, 2014. "Linear and non-linear causality between price indices and commodity prices," Resources Policy, Elsevier, vol. 41(C), pages 40-51.
    26. Bulent Guloglu & Saban Nazlioglu, 2013. "Impacts of Inflation on Agricultural Prices: Panel Smooth Transition Regression Analysis," Research Journal of Politics, Economics and Management, Sakarya University, Faculty of Economics and Administrative Sciences, vol. 1(1), pages 1-20, January.
    27. Abhijeet, Chandra, 2010. "Does Government Expenditure on Education Promote Economic Growth? An Econometric Analysis," MPRA Paper 25480, University Library of Munich, Germany.
    28. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Shahzad, Syed Jawad Hussain, 2017. "Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 453-483.
    29. Kostas Mavromaras & M-Ali Sotoudeh & Andrew C. Worthington, 2017. "Responses of Economic Activity to Global Oil Market Shocks: A Comparative Analysis of Major Net Oil-Producing and -Consuming Countries," The Economic Record, The Economic Society of Australia, vol. 93, pages 70-85, June.
    30. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests," Working Papers 2014-299, Department of Research, Ipag Business School.
    31. Ciner, Cetin, 2011. "Commodity prices and inflation: Testing in the frequency domain," Research in International Business and Finance, Elsevier, vol. 25(3), pages 229-237, September.
    32. M-Ali Sotoudeh & Andrew C. Worthington, 2016. "A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries," International Economics and Economic Policy, Springer, vol. 13(4), pages 623-640, October.
    33. Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
    34. Emmanuel Anoruo, 2011. "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(3), pages 75-92, December.
    35. Abdul Rashid & Fazal Husain, 2010. "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers 22832, East Asian Bureau of Economic Research.
    36. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    37. Go Tamakoshi & Shigeyuki Hamori, 2012. "Informational roles of commodity prices for monetary policy: evidence from the Euro area," Economics Bulletin, AccessEcon, vol. 32(2), pages 1282-1290.
    38. Verheyen, Florian, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 216, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    39. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
    40. Xu Zhang & Xiaoxing Liu & Jianqin Hang & Dengbao Yao, 2018. "The dynamic causality between commodity prices, inflation and output in China: a bootstrap rolling window approach," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 407-425, January.
    41. Barrera, Carlos, 2010. "¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?," Working Papers 2010-016, Banco Central de Reserva del Perú.
    42. Vinod, Hrishikesh D., 2006. "Maximum entropy ensembles for time series inference in economics," Journal of Asian Economics, Elsevier, vol. 17(6), pages 955-978, December.
    43. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    44. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
    45. Lao, Jiashun & Nie, He & Jiang, Yonghong, 2018. "Revisiting the investor sentiment–stock returns relationship: A multi-scale perspective using wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 420-427.
    46. Karagianni, Stella & Pempetzoglou, Maria & Saraidaris, Anastasios, 2012. "Tax burden distribution and GDP growth: Non-linear causality considerations in the USA," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 186-194.
    47. Škovránek, Tomáš & Podlubny, Igor & Petráš, Ivo, 2012. "Modeling of the national economies in state-space: A fractional calculus approach," Economic Modelling, Elsevier, vol. 29(4), pages 1322-1327.
    48. Sami Saafi & Meriem Haj mohamed & Abdeljelil Farhat, 2015. "Is there a causal relationship between unemployment and informal economy in Tunisia: evidence from linear and non-linear Granger causality," Economics Bulletin, AccessEcon, vol. 35(2), pages 1191-1204.
    49. Manish Kumar, 2009. "A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates," Economics Bulletin, AccessEcon, vol. 29(4), pages 2884-2895.
    50. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
    51. Afees A. Salisu & Raymond Swaray & Idris Adediran, 2018. "Improving the predictability of commodity prices in US inflation: The role of coffee price," Working Papers 041, Centre for Econometric and Allied Research, University of Ibadan.
    52. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).

  12. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.

    Cited by:

    1. Matilla-García, Mariano & Marín, Manuel Ruiz, 2010. "A new test for chaos and determinism based on symbolic dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
    2. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    3. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute.
    4. Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.
    5. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
    6. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    7. Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
    8. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
    9. William Barnett & Hajar Aghababa, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201602, University of Kansas, Department of Economics, revised Aug 2016.
    10. Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    11. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    12. Kian-Ping Lim, 2009. "Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 519-522.
    13. Manish Kumar, 2009. "A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates," Economics Bulletin, AccessEcon, vol. 29(4), pages 2884-2895.
    14. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).
    15. Sadek Melhem & Mahmoud Melhem, 2012. "Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”," Working Papers 12-13, LAMETA, Universitiy of Montpellier, revised Apr 2012.

  13. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, September.

    Cited by:

    1. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
    2. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    3. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
    4. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
    5. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
    6. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    7. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    8. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
    9. Resende, Marcelo & Zeidan, Rodrigo M., 2008. "Expectations and chaotic dynamics: Empirical evidence on exchange rates," Economics Letters, Elsevier, vol. 99(1), pages 33-35, April.
    10. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    11. John Francis Diaz & Jo-Hui Chen, 2017. "Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    12. Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19.
    13. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.
    14. Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
    15. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    16. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
    17. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).

  14. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.

    Cited by:

    1. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
    2. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    3. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
    4. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
    5. Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
    6. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March.
    7. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
    8. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.
    9. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
    10. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    11. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    12. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
    13. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
    14. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    15. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
    16. Fernandez, Viviana, 2014. "Linear and non-linear causality between price indices and commodity prices," Resources Policy, Elsevier, vol. 41(C), pages 40-51.
    17. Emmanuel Anoruo, 2011. "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(3), pages 75-92, December.
    18. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    19. Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
    20. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
    21. Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
    22. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    23. Manish Kumar, 2009. "A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates," Economics Bulletin, AccessEcon, vol. 29(4), pages 2884-2895.
    24. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, September.
    25. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
    26. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).

  15. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.

    Cited by:

    1. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
    2. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
    3. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
    4. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.
    5. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.
    6. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
    7. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    8. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system," LSE Research Online Documents on Economics 80749, London School of Economics and Political Science, LSE Library.
    9. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
    10. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
    11. John Francis Diaz & Jo-Hui Chen, 2017. "Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    12. BRATIAN Vasile & BUCUR Amelia, 2017. "The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(1), pages 22-28, April.
    13. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
    14. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
    15. Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
    16. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
    17. Catherine Kyrtsou & Michel Terraza, 2000. "Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange," Computing in Economics and Finance 2000 Z226, Society for Computational Economics.
    18. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, September.

  16. Kyrtsou, C. & Terraza, V., 2000. "Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 3-16, July - De.

    Cited by:

    1. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CWA: Central & Western Asia (1) 2012-01-25
  2. NEP-ECM: Econometrics (1) 2008-09-29
  3. NEP-ENE: Energy Economics (1) 2012-01-25
  4. NEP-ETS: Econometric Time Series (1) 2008-09-29
  5. NEP-FIN: Finance (1) 2004-08-16
  6. NEP-FOR: Forecasting (1) 2008-09-29

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