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Browsing Economic and Management Sciences by Author "Plakandaras, Vasilios"
Now showing items 1-19 of 19
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Plakandaras, Vasilios; Gupta, Rangan; Gil-Alana, Luis A.; Wohar, Mark E. (Routledge, 2019)In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, ...
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An assessment of UK macroeconomic volatility: historical evidence using over seven centuries of data Plakandaras, Vasilios; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2018-04)Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks ...
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Plakandaras, Vasilios; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2017-05)The decision of the United Kingdom to leave the European Union (Brexit) after 43 years caused turmoil in exchange rate and global stock markets. More specifically, the pound relative to the dollar has lost close to 15 ...
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Plakandaras, Vasilios; Cunado, Juncal; Gupta, Rangan; Wohar, Mark E. (Wiley, 2017-10)This paper analyses to what extent a selection of leading indicators is able to forecast U.S. recessions, by means of both dynamic probit models and Support Vector Machine (SVM) models, using monthly data from January 1871 ...
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Antonakakis, Nikolaos; Gabauer, David; Gupta, Rangan; Plakandaras, Vasilios (Elsevier, 2018-05)Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between ...
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Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; Plakandaras, Vasilios (Elsevier, 2023-12)We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate ...
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Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; Papadimitriou, Theophilos (Elsevier, 2015-02)The 2006 sudden and immense downturn inU.S. house prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paperwe propose a novel ...
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Frequency-dependent real-time effects of uncertainty in the United States : evidence from daily data Nyamela, Yanele; Plakandaras, Vasilios; Gupta, Rangan (Routledge, 2020)In this paper, we analyse the impact of uncertainty shocks at the daily-frequency on key macroeconomic variables for the United States. In doing so, we use a vector autoregressive (VAR) model, including the inflation rate, ...
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Yousaf, Imran; Plakandaras, Vasilios; Bouri, Elie; Gupta, Rangan (Elsevier, 2023-01)The sudden market crash around 20 February 2020 on the dawn of the COVID-19 pandemic has accelerated the digitalization of all human communication and revived the interest for risk mitigation during stress periods. ...
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Gogas, Periklis; Papadimitriou, Theophilos; Plakandaras, Vasilios; Gupta, Rangan (Wiley, 2017-03)The difficulty in modelling inflation and the significance in discovering the underlying data-generating process of in-flation is expressed in an extensive literature regarding inflation forecasting. In this paper we evaluate ...
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Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; Papadimitriou, Theophilos (Routledge, 2018)In this article, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county-level examination. In performing a series of linear and nonlinear ...
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Plakandaras, Vasilios; Gupta, Rangan; Wohar, Mark E. (Routledge, 2019)One of the most heavily researched and cited issue in applied economics is the relationship of uncertainty indices with the financial and macroeconomic variables. While the statistical features of financial and macroeconomic ...
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Plakandaras, Vasilios; Gupta, Rangan; Wong, Wing-Keung (Elsevier, 2018-11)We examine the dynamic relationship between oil prices and news-based indices of global geopolitical risks (GPRs), as well as a composite measure of the same for emerging economies, which we develop using Dynamic Model ...
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Plakandaras, Vasilios; Gogas, Periklis; Papadimitriou, Theophilos; Gupta, Rangan (Elsevier, 2019-11)Forecasting the evolution path of macroeconomic variables has always been of keen interest to policy makers and market participants. A common tool used in the relevant forecasting literature is the term spread of Treasury ...
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Gupta, Rangan; Lau, Chi Keung Marco; Plakandaras, Vasilios; Wong, Wing-Keung (Routledge, 2019)Accurate forecasts of home sales can provide valuable information for not only policymakers, but also financial institutions and real estate professionals. Against this backdrop, the objective of our article is to analyse ...
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Plakandaras, Vasilios; Tiwari, Aviral Kumar; Gupta, Rangan; Ji, Qiang (Elsevier, 2020-07)The issue of economic integration of the economies consisting the European Union across its various leaps of expansion throughout the years has been brought back to light during the recent sovereign crisis of the southern ...
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Plakandaras, Vasilios; Gupta, Rangan; Katrakilidis, Constantinos; Wohar, Mark E. (Springer, 2020-05)In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the US and the UK housing market, we employ time-varying vector autoregression models using Bayesian methods ...
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Plakandaras, Vasilios; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2018-07)Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270–2016 — the entire economic history of the U.K. Focusing on permanent and transitory shocks ...
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Plakandaras, Vasilios; Gogas, Periklis; Gupta, Rangan; Papadimitriou, Theophilos (Routledge, 2015-08)In this paper we evaluate inflation persistence in the U.S. using long range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of ...
Now showing items 1-19 of 19