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Monica Alexiadou, Emmanouil Sofianos, Periklis Gogas and Theophilos Papadimitriou
In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecuti...
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Theophilos Papadimitriou, Periklis Gogas and Athanasios Fotios Athanasiou
This study aims to forecast extreme fluctuations of Bitcoin returns. Bitcoin is the first decentralized and the largest, in terms of capitalization, cryptocurrency. A well-timed and precise forecast of extreme changes in Bitcoin returns is key to market ...
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Vasilios Plakandaras, Periklis Gogas, Theophilos Papadimitriou, Efterpi Doumpa and Maria Stefanidou
The aim of this study is to forecast credit ratings of E.U. banking institutions, as dictated by Credit Rating Agencies (CRAs). To do so, we developed alternative forecasting models that determine the non-disclosed criteria used in rating. We compiled a ...
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Vasilios Plakandaras, Periklis Gogas and Theophilos Papadimitriou
An important ingredient in economic policy planning both in the public or the private sector is risk management. In economics and finance, risk manifests through many forms and it is subject to the sector that it entails (financial, fiscal, international...
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Periklis Gogas, Theophilos Papadimitriou and Emmanouil Sofianos
The issue of whether or not money affects real economic activity (money neutrality) has attracted significant empirical attention over the last five decades. If money is neutral even in the short-run, then monetary policy is ineffective and its role limi...
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Athanasia Dimitriadou, Periklis Gogas, Theophilos Papadimitriou and Vasilios Plakandaras
Forecasting commodities and especially oil prices have attracted significant research interest, often concluding that oil prices are not easy to forecast and implying an efficient market. In this paper, we revisit the efficient market hypothesis of the o...
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