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Christos Ntantamis

Personal Details

First Name:Christos
Middle Name:
Last Name:Ntantamis
Suffix:
RePEc Short-ID:pnt1
[This author has chosen not to make the email address public]

Affiliation

Department of Economics
Dalhousie University

Halifax, Canada
http://www.economics.dal.ca/

: (902) 494-2026
(902) 494-6917
Halifax, Nova Scotia, B3H 3J5
RePEc:edi:dedalca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Christos Ntantamis, 2010. "A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns," CREATES Research Papers 2010-51, Department of Economics and Business Economics, Aarhus University.
  2. Christos Ntantamis, 2010. "Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models," CREATES Research Papers 2010-53, Department of Economics and Business Economics, Aarhus University.
  3. Christos Ntantamis, 2010. "Detecting Structural Breaks using Hidden Markov Models," CREATES Research Papers 2010-52, Department of Economics and Business Economics, Aarhus University.
  4. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.

Articles

  1. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
  2. Laurence Booth & Christos Ntantamis & Jun Zhou, 2015. "Financial Constraints, R&D Investment, and the Value of Cash Holdings," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-24, December.

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 Ntantamis, 2010. "A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns," CREATES Research Papers 2010-51, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.

  2. Christos Ntantamis, 2010. "Detecting Structural Breaks using Hidden Markov Models," CREATES Research Papers 2010-52, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Derrode, Stéphane & Pieczynski, Wojciech, 2013. "Unsupervised data classification using pairwise Markov chains with automatic copulas selection," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 81-98.

  3. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. 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.
    3. Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013. "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, vol. 28(2), pages 701-734, April.
    4. Halil Guler & Anil Talasli, 2010. "Modelling the Daily Currency in Circulation in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(1), pages 29-46.
    5. Samet Günay, 2015. "Chaotic Structure of the BRIC Countries and Turkey’s Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 515-522.

Articles

  1. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.

    Cited by:

    1. Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
    2. Kablan, Sandrine & Ftiti, Zied & Guesmi, Khaled, 2017. "Commodity price cycles and financial pressures in African commodities exporters," Emerging Markets Review, Elsevier, vol. 30(C), pages 215-231.
    3. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
    4. Rui Menezes & Sonia Bentes, 2016. "Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016," Papers 1610.00259, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 5 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-ECM: Econometrics (3) 2004-10-21 2010-09-11 2010-09-11
  2. NEP-ETS: Econometric Time Series (3) 2004-10-21 2010-09-11 2010-09-11
  3. NEP-CMP: Computational Economics (1) 2004-10-21
  4. NEP-FIN: Finance (1) 2004-10-21
  5. NEP-FMK: Financial Markets (1) 2010-09-11
  6. NEP-GEO: Economic Geography (1) 2010-09-11
  7. NEP-ORE: Operations Research (1) 2010-09-11
  8. NEP-URE: Urban & Real Estate Economics (1) 2010-09-11

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