Research & Publications

Monographs

  1. Ηétérogénéité et chaos stochastique dans les marchés boursiers, University of Montpellier I, Department of Economics, LAMETA, 2002 (PhD Thesis).
  2. Tests de non linéarité et détection du chaos dans les marchés financiers, University of Montpellier I, Department of Economics, LAMETA, 1997 (DEA).

Books

  1. Progress in Financial Market Research, collective volume, July 2012, New York: Nova Science Publishers (in collaboration with Vorlow C.).
  2. New Trends in Macroeconomics, September 2005, Springer Verlag – Bestseller- (in collaboration with Professor C. Diebolt, Research Director in CNRS, ΒΕΤΑ, Université Louis Pasteur de Strasbourg).
  3. Macroeconomics: Policy and Practice by F. Mishkin (2nd edition), 2015, Co-Editing of the Greek Edition.

Guest Editor in Special Issues

  1. Special Issue “Nonlinear Macroeconomic Dynamics” Journal of Macroeconomics, 2006, in collaboration with Prof. T. Palivos.
  2. Special Issue “Energy Sector Pricing and Macroeconomic Dynamics” Energy Economics, 2009, in collaboration with Prof. A. G. Malliaris.
  3. Special Issue “Nonlinear Financial Analysis” Brussels Economic Review, 2010.
  4. Special Issue “New Facets of Economic Complexity in Modern Financial Markets” European Journal of Finance, in collaboratio with Prof. D. Sornette, 2013.
  5. Special Issue “Comovement and Contagion in Financial Markets” International Review of Financial Analysis, in collaboration with Profs V., Mignon and S. Tokpavi, forthcoming 2014.

Selected Publications (peer-reviewed)

  1. Kyrtsou, C., and Terraza, M., (2002): Stochastic chaos or ARCH effects in stock series? A comparative study, International Review of Financial Analysis, Vol.11 (4), pp. 407-431.
  2. Kyrtsou, C., and Terraza, M., (2003): It is possible to study chaotic and ARCH behaviour jointly? Application of a noisy Mackey-Glass equation in the Paris Stock Exchange returns series, Computational Economics, vol.21, pp. 257-276.
  3. Kyrtsou, C., Labys, W., and Terraza, M., (2004): Noisy chaotic dynamics in commodity markets, Empirical Economics, vol. 29, pp. 489-502.
  4. Kyrtsou, C., (2005): Evidence for neglected linearity in noisy chaotic models, International Journal of Bifurcation and Chaos, vol. 15 (10), pp. 3391-3394.
  5. Kyrtsou, C., and Vorlow, C., (2005): Complex dynamics in macroeconomics: a novel approach, New Trends in Macroeconomics, Diebolt C., and Kyrtsou C., (eds), Springer Verlag, pp.223-238.
  6. Kyrtsou, C., and Labys, W., (2006): Evidence for chaotic dependences between US inflation and commodity prices, Journal of Macroeconomics, vol. 28, (1), pp. 256-266. Discussion by A. G. Malliaris.
  7. Kyrtsou, C., and Serletis, A., (2006): Univariate tests for nonlinear structure, Journal of Macroeconomics, vol. 28 (1), pp. 154-168. Discussion by C. H. Hommes and S. Manzan.
  8. Kyrtsou, C., Leontitsis A., and Siriopoulos C., (2006): Exploring the impact of calendar effects on the dynamic structure and forecasts of financial time series, International Journal of Applied and Theoretical Finance, vol. 9 (1), pp. 1-22.
  9. Kyrtsou, C., and Labys, W., (2007): Detecting Positive Feedback in Multivariate Time Series: The Case of Metal Prices and US Inflation, Physica A, vol.377 (1), pp. 227-229.
  10. Hristu-Varsakelis, D., and Kyrtsou, C., (2008): Evidence for nonlinear asymmetric causality in US inflation, metal and stock returns, Discrete Dynamics in Nature and Society, doi:10.1155/2008/138547. [code]
  11. Kyrtsou, C., (2008): Nonlinear features of commodity prices comovements, in Commodity Modeling and Pricing, Schaeffer, P.V. (ed.), Wiley and Sons, New York, pp.52-64.
  12. Kyrtsou, C., (2008): Re-examinating the sources of heteroskedasticity: The paradigm of noisy chaotic models, Physica A, vol. 387 (27), pp. 6785-6789.
  13. Kyrtsou, C., and Malliaris A., (2009): The impact of information signals on market prices, when agents have non-linear trading rules, Economic Modelling, vol. 26 (1), pp. 167-176.
  14. Kyrtsou, C., and Vorlow, C., (2009): Modelling nonlinear comovements between time series, Journal of Macroeconomics, vol. 30 (2), pp. 200-211. Discussion by B. Mizrach.
  15. Kyrtsou, C., Malliaris, A., and Serletis, A., (2009): Energy sector pricing: On the role of neglected nonlinearity, Energy Economics, vol. 31 (3), pp. 492-502.
  16. Hristu-Varsakelis, D., and Kyrtsou, C., (2010): Testing for Granger causality in the presence of chaotic dynamics, Brussels Economic Review, 2010, vol. 53(2); pp. 323-327. [code]
  17. Kyrtsou, C., and Terraza M., (2010): Seasonal Mackey-Glass-GARCH process and short-term predictability, Empirical Economics, vol. 38(2), pp. 325-345.
  18. Karagianni, S., and Kyrtsou, C., (2011): Analysing the dynamics between US inflation and Dow Jones index using nonlinear methods, Studies in Nonlinear Dynamics and Econometrics, vol. 15(2), article 4.
  19. Papana, A., Kyrtsou, C., Kugiumtzis, D., and Diks, C., (2013): Simulation study of direct causality measures in multivariate time series, Entropy, 15(7), pp. 2635-2661, doi:10.3390/e15072635.
  20. Kollias, C., Kyrtsou, C., and Papadamou, S., (2013): The effects of terrorism and war on the oil price–stock index relationship, Energy Economics, vol. 40, pp. 743–752.
  21. Papana, A., Kyrtsou, C., Kugiumtzis, D., and Diks, C., (2014): Comparison of resampling techniques for the non-causality hypothesis, Topics in Statistical Simulation, Springer Proceedings in Mathematics & Statistics, vol. 114, pp 419-429.
  22. Papana, C., Kugiumtzis, D., and Kyrtsou, C., (2014): A nonparametric causality test: Detection of direct causal effects in multivariate systems using corrected partial transfer entropy, Topics in Nonparametric Statistics, Springer Proceedings in Mathematics & Statistics, vol. 74, pp. 197-206.
  23. Papana, A., Kyrtsou, C., Kugiumtzis, D., and Diks, C., (2016): Detecting causality in non-stationary time series using partial symbolic transfer entropy: Evidence in financial data, Computational Economics, vol. 47(3), pp 341-365.
  24. Kyrtsou, C., Mikropoulou, C., and Papana, A., (2016): Does the SP500 index mirror the crude oil dynamics? A complexity-based approach, Energy Economics, vol. 56, pp. 239–246.
  25. Papana, A., Kyrtsou, C., Kugiumtzis, D., and Diks, C., (2017): Financial networks based on Granger causality: A case study, Physica A, vol. 482, pp. 65-73.
  26. Papana, A., Kyrtsou, C., Kugiumtzis, D., and Diks, C., (2017): Assessment of resampling methods for causality testing: A note on the US inflation behavior, PLoS ONE 12(7): e0180852.

Editorial Introductions, published Working Papers and Discussions

  1. Kyrtsou, C., and Palivos, T., (2006): Nonlinear Macroeconomic Dynamics, Journal of Macroeconomics, vol. 28 (1), pp.1-4.
  2. Kyrtsou, C., and Malliaris, A., (2009): Energy Sector Pricing and Nonlinear Macroeconomics, Energy Economics, vol. 31 (6), pp.825- 826.
  3. Kyrtsou, C., (2010): Nonlinear Financial Analysis, Brussels Economic Review, vol. 53(2), pp.165-167.
  4. Kollias, C., Kyrtsou, C., and Papadamou, S., (2011): The effects of terrorism and war on the oil prices-stock indices relationship, Economics of Security Working Paper 57, Berlin: Economics of Security.
  5. Kyrtsou, C., and Sornette, D., (2013): New Facets of the Economic Complexity in Modern Financial Markets, European Journal of Finance, vol.15 (5), pp.337-449. (available as well at the ACE Research Area: Agent-Based Financial Economics site).
  6. Diks, C., Kugiumtzis, D., Kyrtsou, C., Papana, A., (2013): Partial Symbolic Transfer Entropy, CeNDEF Working paper 13-16, University of Amsterdam.
  7. Kyrtsou, C., (2013): Discussion on “Specific Markov-Switching Behaviour for ARMA Parameters”, 12th Annual Financial Econometrics Conference, 11 December, 2013, Paris.
  8. Kyrtsou, C., Mignon, V., Tokpavi, S., (2014): Comovement and Contagion in Financial Markets, International Review of Financial Analysis, vol.33, pp.iii–iv.
  9. Diks, C., Kugiumtzis, D., Kyrtsou, C., and Papana, A., (2014): Assessment of Resampling Methods for Causality Testing, CeNDEF Working paper 14-08, University of Amsterdam.
  10. Diks, C., Kugiumtzis, D., Kyrtsou, C., and Papana, A., (2014): Identifying causal relationships in case of non-stationary time series, CeNDEF Working paper 14-09, University of Amsterdam

International Conferences and Workshops

  1. Testing for nonlinearity in commodity prices: determinism or stochasticity?, GAMMAP International Conference Dynamique des Prix et des Marchés de Matières Premières, Grenoble, France, November 1998 (in collaboration with Labys W., and Terraza M.).
  2. Determinism versus stochasticity in emerging capital markets: a note, International Conference Forecasting Financial Markets, London, May 1998 (in collaboration with Terraza M.).
  3. Evidence for nonlinearity in small european capital markets, AEA International Conference Forecasting Emerging Financial Markets, Paris, June 1998 (in collaboration with Terraza M.).
  4. L’effet du bruit dans les données à haute fréquence: le cas de la série boursière d’Athènes, International Conference Théorisation du Long Term et des Phases Dépressives, Montpellier, France, September 1999 (in collaboration with Terraza M.).
  5. Stochastic chaos or ARCH effects in stock series? A comparative study, SEFI International Conference Complex Behaviour in Economics, Aix-en-Provence, France, Μay 2000 (in collaboration with Terraza M.).
  6. It is possible to study chaotic and ARCH behaviour jointly? Application of a noisy Mackey-Glass equation in the Paris Stock Exchange returns series, SCE International Conference, Computing in Economics and Finance, Βarcelona, July 2000 (in collaboration with Terraza M.).
  7. Value at Risk, Outliers and Chaotic Dynamics, International Conference Forecasting Financial Markets, Paris, June, 2004 (in collaboration with Terraza V.).
  8. Surrogates data analysis and stochastic chaotic modelling: application to stock exchange returns series, SCE International Conference Computing in Economics and Finance, Amsterdam, July 2004 (in collaboration with Antoniou A. and Vorlow C.).
  9. VaR Non-linéaire Chaotique: Application à la Série des Rentabilités de l’Indice NIKKEI, ΑΕΑ International Conference Econometrics of Stock Markets: Analysis and Prediction, Paris, April, 2004 and AFFI International Conference, Cergy-Pontoise, France, June, 2004 (in collaboration with Terraza V.).
  10. Analyzing the link between stock volatility and volume by a Mackey-Glass GARCH-type model: the case of Korea, Global Finance Conference, June 2005, Trinity College Dublin, Ireland (in collaboration with Karanasos M.).
  11. Value-at-Risk, outliers and chaotic dynamics, 3rd International Conference on Computational Finance and its Applications, May 2008, Cadiz, Spain (in collaboration with Terraza V.).
  12. Effects of tax policy announcements in the Athens stock exchange, International Conference on Economic Modelling, 7-10 July, 2010, Istanbul (in collaboration with Karagianni S. and A. Saraidaris).
  13. Security Shocks and Oil Prices – Stock Indices Relationship, Terrorism and Policy Conference, University of Texas at Dallas, Sponsored by the Center for Global Collective Action, May 2011 (in collaboration with Kollias C., and Papadamou S.).
  14. A nonparametric causality test: Detection of direct causal effects in multivariate systems using Corrected Partial Transfer Entropy, 1st International Conference of Society of Non- Parametric Statistics (ISNPS), 15-19 June 2012, Chalkidiki, Greece (in collaboration with Papana, A., and Kugiumtzis, D.,).
  15. Partial Symbolic Transfer Entropy, 6th CSDA International Conference on Computational and Financial Econometrics (CFE’12), 1-3 December 2012, Oviedo, Spain (in collaboration with Papana, A., Kugiumtzis, D., and Diks, C.,).
  16. Neglected Nonlinearity and Risk Premium Dynamics in the U.S. market, 11th Biennial Conference of Athenian Policy Forum, July 2012, Chalkidiki, Greece (in collaboration with Mikropoulou C. and Mikropoulou V.).
  17. On the Causes of the Stock Index–Crude Oil Returns Interdependences: A Copula-based Approach, 11th Biennial Conference of Athenian Policy Forum, July 2012, Chalkidiki (in collaboration with Mikropoulou C. and Vogiatzoglou M.).
  18. Does the SP500 index mirror the crude oil dynamics? A complexity-based approach, Finance and energy issues, 1st March 2013, Paris, France and 8th BMRC-QASS Conference on Macro and Financial Economics, 24th May, 2013, Brunel University, London (in collaboration with Mikropoulou C. and Papana A.).
  19. Comparison of resampling significance tests for Granger causality, 7th International Workshop on Simulation, May 21-25, 2013 – Alma Mater Studiorum University of Bologna, Rimini, Italy (in collaboration with Papana, A., Kugiumtzis, D., and Diks, C.,).
  20. Investigating causal relationships–application to financial time series, Dynamics Days, 3-7 June 2013, Madrid, Spain (in collaboration with Papana, A., Kugiumtzis, D., και Diks, C.,).
  21. Further insights on the connectivity between money supply and interest rates, 5th International Symposium on Recurrence Plots, Loyola University Chicago, 14-16 August 2013, US (in collaboration with Papana, A., and Vorlow, C.,).
  22. Identifying causal relationships in the case of non-stationary time series, 7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013) 14-16 December 2013, Senate House, University of London, UK (in collaboration with Papana, A., Kugiumtzis, D., and Diks, C.,).
  23. Time Series Resampling for Causality Testing, 11th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, KU Leuven, Belgium, April 6-11, 2014 (in collaboration with Papana, A., Kugiumtzis, D., and Diks, C.,).
  24. Further Insights on the Relationship Between SP500, VIX and Volume: A New Asymmetric Causality Test, 12th Biennial Athenian Policy Forum Conference, on Economic and Financial Asymmetries, National Debts and Government Policies, Toronto, Canada, June 13-14, 2014 (in collaboration with Papana, A., and Kugiumtzis, D.,).
  25. Diversity, Uncertainty and Stock Market Dynamics, 2nd International Conference on Econophysics, 13-14 September, 2013, Kavala, Greece & 12th Annual Financial Econometrics Conference, 11 December, 2013, Paris & Conference on Macro and Financial Economics/Econometrics, London, May 28-30, 2014 (in collaboration with Mikropoulou, C.,).
  26. Dynamic Analysis of the US Short- and Long-Term Interest Rates Relationships: On the Role of Monetary Policy, European Conference on Complex Systems, Barcelona, September 19-21, 2013 & 1st Conference of the Society for Economic Measurement, University of Chicago’s Booth School of Business, August 18-20, 2014 (in collaboration with Malliaris, A., and Mikropoulou, C.,) invited contribution.
  27. Financial networks based on short-term Granger causality, 2nd Vienna Workshop on High Dimensional Time Series in Macroeconomic and Finance, Institute for Advanced Studies, Vienna, May 21-22, 2015 (in collaboration with Papana, A., Kugiumtzis, D., and Diks, C.,).
  28. Informational content of Monday returns and the role of dynamic invariants, Loyola University Chicago, 14-16 August 2013, US & 22nd Annual Conference of the Multinational Finance Society, Halkidiki, Greece, June 28 – July 1, 2015 (in collaboration with Malliaris, A., and Mikropoulou, C.,).
  29. Gathering the Pieces of the US Real Output Dynamics: New Challenges for Economic Policy, 12th Biennial Athenian Policy Forum Conference, on Economic and Financial Asymmetries, National Debts and Government Policies, Toronto, Canada, June 13-14, 2014 & 2nd Conference of the Society for Economic Measurement, OECD Paris, July 22-24, 2015 (in collaboration with Karagianni S., and Mikropoulou, C.,) invited contribution.
  30. Financial Indicators and the Business Cycle: the Contribution of Recurrence Plot Analysis, 10th BETA-Workshop in Historical Economics “Where are we now in Cliometrics?”, Strasbourg, May 9-10, 2014, & 6th International Symposium on Recurrence Plot Analysis, Grenoble, 17-19 June 2015 & 1st International Conference on Cliometrics and Complexity, Lyon, June 09-10, 2016 (in collaboration with Crowley, P., and Mikropoulou, C.,).
  31. Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective, 1st International Conference on Cliometrics and Complexity, Lyon, June 09-10, 2016 & 7th Italian Congress of Econometrics and Empirical Economics (ICEEE 2017), Messina, Italy, January 25-27, 2017 (in collaboration with Cavicchioli, M., and Papana, A.,).
  32. Understanding Financial Risk Through Complexity: Application to Real Time Series, 2nd Conference of the Society for Economic Measurement, OECD Paris, July 22-24, 2015 (invited contribution) & 13th Biennial Athenian Policy Forum Conference, Athens, July 7-9, 2016 (in collaboration with Malliaris, A., and Mikropoulou, C.,).

Referee in International Journals

Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Quantitative Finance, Empirical Economics, Economic Inquiry, Macroeconomic Dynamics, Mathematics and Computers in Simulation, Review of Futures Markets, Economic Modelling, Finance, Journal of Economic Behaviour and Organization, Studies in Nonlinear Dynamics and Econometrics, Journal of Macroeconomics, Energy Policy, Energy Economics, International Review of Financial Analysis, Physica A, Chaos Solitons and Fractals, Chaos, International Journal of Bifurcation and Chaos, Discrete Dynamics in Nature and Society, Discrete and Continuous Dynamical System-B, Economics, International Review of Economics and Finance, Applied Economics, Computational Statistics and Data Analysis, Brussels Economic Review, Journal of Systemics, Cybernetics and Informatics.