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Costas Vorlow

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Personal Details

First Name:Costas
Middle Name:Euripides
Last Name:Vorlow
Suffix:
RePEc Short-ID:pvo9
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http://www.vorlow.com
+30-6937755605

Affiliation

IMAR (IMAR)

http://www.imarfinance.com
Athens

Research output

as
Jump to: Working papers Articles

Working papers

  1. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Department of Economics Working Papers 2008_01, Durham University, Department of Economics.
  2. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.
  3. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
  4. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
  5. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.

Articles

  1. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
  2. Vorlow, Constantinos E., 2006. "M. Benoit and R.L. Hudson, The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin and Reward, Basic Books, New York (2004) (xxiv + 328 pp., $27.50, ISBN 0-465-04355-0)," Journal of Economic Behavior & Organization, Elsevier, vol. 61(3), pages 513-515, November.

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. Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Department of Economics Working Papers 2008_01, Durham University, Department of Economics.

    Cited by:

    1. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2016. "Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 341-365, March.
    2. Afshan, Sahar & Sharif, Arshian & Loganathan, Nanthakumar & Jammazi, Rania, 2018. "Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 225-244.
    3. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    4. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    5. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
    6. Ben-Salha, Ousama & Hkiri, Besma & Aloui, Chaker, 2018. "Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach," Energy Economics, Elsevier, vol. 72(C), pages 75-96.
    7. Jammazi, Rania & Aloui, Chaker, 2015. "Environment degradation, economic growth and energy consumption nexus: A wavelet-windowed cross correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 110-125.
    8. David, S.A. & Inácio, C.M.C. & Quintino, D.D. & Machado, J.A.T., 2020. "Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension," Energy Economics, Elsevier, vol. 85(C).
    9. Abdul Rashid & Fazal Husain, 2010. "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers 22832, East Asian Bureau of Economic Research.
    10. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
    11. Aloui, Chaker & Jammazi, Rania, 2015. "Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 62-86.
    12. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universtiy of Montpellier, revised Jun 2015.
    13. Sharif, Arshian & Jammazi, Rania & Raza, Syed Ali & Shahzad, Syed Jawad Hussain, 2017. "Electricity and growth nexus dynamics in Singapore : Fresh insights based on wavelet approach," Energy Policy, Elsevier, vol. 110(C), pages 686-692.

  2. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.

    Cited by:

    1. Costas Siriopoulos & Maria Skaperda, 2020. "Investing in mutual funds: are you paying for performance or for the ties of the manager?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 153-164.

  3. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.

    Cited by:

    1. Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2007. "An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics," CoFE Discussion Papers 07/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    3. Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3519-3524, December.

  4. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.

    Cited by:

    1. Viviana Fernandez & Brian M. Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," The Institute for International Integration Studies Discussion Paper Series iiisdp131, IIIS.
    2. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
    3. Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2007. "An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics," CoFE Discussion Papers 07/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    5. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
    6. John Francis Diaz & Jo-Hui Chen, 2017. "Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    7. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.

Articles

  1. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
    See citations under working paper version above.Sorry, no citations of articles recorded.

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 1 paper 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-FIN: Finance (1) 2004-08-16

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