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Complex dynamics in macroeconomics : a novel approach

Kyrtsou, Catherine; Vorlow, Constantinos E. - In: New trends in macroeconomics : with 38 tables, (pp. 223-238). 2005

Persistent link: https://www.econbiz.de/10003022427

Modelling non-linear comovements between time series

Kyrtsou, Catherine; Vorlow, Costas - In: Journal of macroeconomics 31 (2009) 1, pp. 200-211

Persistent link: https://www.econbiz.de/10003840508

Modelling non-linear comovements between time series: comment

Mizrach, Bruce Marshall - In: Journal of macroeconomics 31 (2009) 1, pp. 212-215

Persistent link: https://www.econbiz.de/10003840510

Exploring the impact of calendar effects on the dynamic structure and forecasts of financial time series

Kyrtsou, Catherine; Leontitsis, Alexander; Siriopoulos, … - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003285858

Value at risk, outliers and chaotic dynamics

Kyrtsou, Catherine; Terraza, V. - In: Computational finance and its applications III : …, (pp. 197-205). 2008

Persistent link: https://www.econbiz.de/10003713320

Detecting causality in non-stationary time series using partial symbolic transfer entropy : evidence in financial data

Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Computational economics 47 (2016) 3, pp. 341-365

Persistent link: https://www.econbiz.de/10011712376

Detecting Positive Feedback in Multivariate Time Series : The Case of Metal Prices and US Inflation

Kyrtsou, Catherine - 2007

The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey-Glass process recently developed by Kyrtsou and Labys (2006) has been applied to assess this relationship. Results obtained...

Persistent link: https://www.econbiz.de/10012776658

Identification of causal relationships in non-stationary time series with an information measure : evidence for simulated and financial data

Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1399-1420

Persistent link: https://www.econbiz.de/10014226364