Papers by Costas Siriopoulos
Multinational Finance Journal, 2002
... in Japan's real GDP. Scheinkman and LeBaron (1989), Ashley and Patterson (19... more ... in Japan's real GDP. Scheinkman and LeBaron (1989), Ashley and Patterson (1989) also report evidence of nonlinearities and chaotic behavior testing CRSP data. In addition, De Grauwe et.al. (1995), Hsieh (1989) applying ...
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ABSTRACT The aim of the paper is the analysis of the sequential characteristics of the Athens Sto... more ABSTRACT The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the Feed Forward Neural Network trained with the efficient Levenberg - Marquardt optimization algorithm, the Adaptive Neuro-Fuzzy Inference Sys-tem as well as traditional linear regression and ARIMA models for comparison. All these approaches are initially used for the short-term fore-casting of the series, providing an insight into the forecasting capabilities of each model. The analysis of the spectral characteristics of the series indicated the presence of strong persis-tence or alternatively that the models do not differ significantly from a random walk. This observation was also cemen-ted by the forecasting results of the developed models. The proposed approach is based on the application of low-pass digital filters on the series and the employment of the formerly mentioned models for the prediction of the created series. The filtered series contains a lower amount of noise and can be viewed as an alternative trend indication of the original series.
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ABSTRACT The recent financial crisis exposed the inability of traditional theoretical and empiric... more ABSTRACT The recent financial crisis exposed the inability of traditional theoretical and empirical models to parsimoniously capture the rich dynamics of the economic environment. This has stimulated the interest of both academics and practitioners in the development and application of more sophisticated models. By allowing for the presence of nonlinearities, complex dynamics, multiple equilibria, structural breaks and spurious trends, these latter models resemble more closely the properties of economic and financial time series. In this article, we illustrate the flexibility of a family of econometric models, namely the exponential smooth transition autoregressive (ESTAR), to encompass several of the above characteristics. We then re-assess the power of the ESTAR unit root test developed by Kapetanios, Shin and Snell ((2003)22. Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 ( 2 ) : 359 – 79 . [CrossRef], [Web of Science ®]View all references) in the presence of nuisance parameters typically encountered in the literature and compare its performance with that of the augmented Dickey-Fuller and the Enders and Granger ((1998)15. Enders , W. and Granger , C. W.J. 1998 . Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business & Economic Statistics , 16 ( 3 ) : 304 – 11 . [Taylor & Francis Online], [Web of Science ®]View all references) tests. Our results show the lack of dominance of any particular test and that the power is not independent to priors about the nuisance parameters. Finally, we examine several asset price deviations from fundamentals and one hyper-inflation series and find contradictory results between the nonlinear fitted models and unit root tests. The findings highlight that new testing procedures with higher power are desirable in order to shed light on the behavior of financial and economic series.
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Operational Tools in the Management of Financial Risks, 1998
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The Journal of Alternative Investments, 2011
ABSTRACT This study examines whether VIX futures prices are unbiased and efficient predictors of ... more ABSTRACT This study examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has several advantages as it offers more flexibility in modelling the efficiency of several futures contract with overlapping dataset. As a result, this methodology enables us to include all daily closing prices of VIX futures contracts that expired between May 2004 and December 2009, a total of 64 contracts. The empirical findings support the hypothesis that VIX futures are good predictors of spot VIX values. The tests show that the VIX futures with a forecast horizon up to 23 days do not incorporate a significant risk premium and thus, can be considered as unbiased and efficient estimators of the relevant spot VIX levels.
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SSRN Electronic Journal, 2000
ABSTRACT In this paper we argue that univariate mixed models are not appropriate in measuring uno... more ABSTRACT In this paper we argue that univariate mixed models are not appropriate in measuring unobserved heterogeneity in studying IPOs survival in the aftermarket. We extend the methodology used up to now by developing a random effects model to account for heterogeneity among industries. Our results indicate that the proportion of early failed firms is rather negligible and the effect of frailty depends on the overall hazard rate.
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Contributions to Management Science, 1997
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Papers by Costas Siriopoulos