Periklis Gogas

Democritus University of Thrace - Department of Economics

Associate Professor

Komotini, 69100

Greece

http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml

SCHOLARLY PAPERS

31

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“  Artificial Intelligence in Economics and Finance  ”

Scholarly Papers (31)

1.

Directional Forecasting in Financial Time Series Using Support Vector Machines: The USD/EURO Exchange Rate

Number of pages: 15 Posted: 31 Jan 2014
Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 494 (51,396)

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2.

Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques

Number of pages: 14 Posted: 22 Jun 2017 Last Revised: 28 Jun 2017
Democritus University of Thrace, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Downloads 297 (95,120)

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Exchange rate forecasting, Support Vector Regression, Multivariate Adaptive Regression Splines, variable selection, Ensemble Empirical Mode Decomposition, time series forecasting

3.

Yield Curve and Recession Forecasting in a Machine Learning Framework

Number of pages: 9 Posted: 02 Feb 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics, Democritus University of Thrace - Department of International Economics and Development and Democritus University of Thrace - Department of International Economics and Development
Downloads 252 (112,104)

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Yield Curve, Recession Forecasting, SVM

4.

Forecasting Bank Failures and Stress Testing: A Machine Learning Approach

Number of pages: 31 Posted: 21 Sep 2017
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 226 (123,673)

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machine learning, bank failures, stress testing, forecasting

5.

Market Sentiment and Exchange Rate Directional Forecasting

Algorithmic Finance (2015), 4:1-2, 69-79
Number of pages: 12 Posted: 28 Jul 2015
Democritus University of Thrace, Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Alexander Technological Educational Institute of Thessaloniki
Downloads 199 (139,553)

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6.

Forecasting the U.S. Real House Price Index

Number of pages: 27 Posted: 02 May 2014
Democritus University of Thrace, University of Pretoria - Department of Economics, Democritus University of Thrace - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 162 (167,984)

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house prices, forecasting, machine learning, Support Vector Regression

7.

Forecasting Bank Credit Ratings

Number of pages: 21 Posted: 15 Feb 2014
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 135 (195,340)

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8.

Forecasting the NOK/USD Exchange Rate with Machine Learning Techniques

Number of pages: 17 Posted: 31 Jan 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Democritus University of Thrace
Downloads 113 (223,734)

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International Financial Markets, Foreign Exchange, Support Vector Regression, Monetary Exchange Rate Models

9.

Fiscal Shocks and Asymmetric Effects: A Comparative Analysis

DUTH Research papers in Economics, Forthcoming
Number of pages: 21 Posted: 09 Dec 2013
Democritus University of Thrace, Democritus University of Thrace - Department of Economics, Democritus University of Thrace and Department of Economics, Democritus University of Thrace
Downloads 107 (232,627)

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Fiscal Policy; Asymmetric Effects; VAR

10.

Asymmetric Effects of Monetary Policy in the U.S. and Brazil

Number of pages: 27 Posted: 09 Dec 2013
Ioannis Pragidis, Periklis Gogas and Benjamin M. Tabak
Democritus University of Thrace, Democritus University of Thrace - Department of Economics and FGV/EPPG
Downloads 98 (247,231)

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Taylor rule, monetary policy, nonlinear effects, LSTAR

11.

The Slope and the Curvature of the Yield Curve in Recession Forecasting

Number of pages: 21 Posted: 15 Mar 2014
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 88 (266,849)

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support vector machines, yield curve, recession forecasting, GDP, machine learning

12.

Convergence of European Business Cycles: Evidence from a Graph Theory-Based Model

Number of pages: 20 Posted: 29 Jan 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Democritus University of Thrace - Department of International Economics and Development
Downloads 70 (303,135)

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Business cycles, synchronization, convergence, Graph Theory, Network Analysis, complex economic networks, rolling window, Minimum Dominating Set

13.

Forecasting the Insolvency of U.S. Banks Using Support Vector Machines (SVM) Based on Local Learning Feature Selection

International Journal of Computational Economics and Econometrics, vol. 3(1/2),
Number of pages: 11 Posted: 28 Jan 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Downloads 70 (303,135)

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Bank insolvency, SVM, local learning, feature selection

14.

A Novel Banking Supervision Method Using a Threshold-Minimum Dominating Set

Number of pages: 24 Posted: 31 Jan 2014
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 60 (328,593)

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Complex networks, Minimum Dominating Set, Banking supervision, Interbank loans

15.

Income Inequality: A State-by-State Complex Network Analysis

Physica A: Statistical Mechanics and its Applications, September 2017
Number of pages: 27 Posted: 28 Jun 2015 Last Revised: 26 Nov 2017
Democritus University of Thrace - Department of Economics, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 58 (334,040)

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Income inequality, graph theory, US states

16.

Asynchronous Business Cycles in the E.U.: The Effect of the Common Currency

Number of pages: 21 Posted: 12 Apr 2012
Periklis Gogas
Democritus University of Thrace - Department of Economics
Downloads 46 (370,629)

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Business Cycle, Synchronisation, Eurozone

17.

Analysis of Network Topology Using the Threshold-Minimum Dominating Set

Number of pages: 21 Posted: 12 May 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics, Democritus University of Thrace - Department of International Economics and Development and Democritus University of Thrace - Department of International Economics and Development
Downloads 44 (377,263)

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Networks, Graph Theory, Optimization, Threshold-Minimum Dominating Set, Minimum Spanning Tree, Bank Supervision

18.

Episodic Nonlinearity in Leading Global Currencies

Number of pages: 27 Posted: 08 Dec 2011
Loyola University of Chicago - Department of Economics, University of Calgary - Department of Economics, University of Texas at Austin - Applied Research Laboratories and Democritus University of Thrace - Department of Economics
Downloads 44 (377,263)

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Global Fi…nancial markets, Currencies, Episodic nonlinearity, Conditional heteroskedasticity

19.

Forecasting Electricity Price Spikes Using Support Vector Machines

Number of pages: 27 Posted: 22 Jun 2017 Last Revised: 19 Jul 2018
Democritus University of Thrace - Department of International Economics and Development, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Downloads 38 (402,627)

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electricity prices, extreme value theory, exponential GARCH, multiclass, support vector machines

20.

Common Stochastic Trends and the Ricardian Equivalence in the OECD

Number of pages: 30 Posted: 03 Feb 2014
Democritus University of Thrace - Department of Economics, Democritus University of Thrace and Department of Economics, Democritus University of Thrace
Downloads 36 (406,641)

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Ricardian equivalence, private consumption, public debt, VAR, VECM, panel cointegration tests, multivariate Johansen cointegration test

21.

A Novel Banking Supervision Method Using the Minimum Dominating Set

Number of pages: 14 Posted: 29 Jan 2014
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 36 (406,641)

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Complex networks, Minimum Dominating Set, Bank supervision, Deposits, Banking

22.

A Network Analysis of the United Kingdom's Consumer Price Index

Computational Economics, 2015
Number of pages: 22 Posted: 08 Dec 2016
Democritus University of Thrace - Department of International Economics and Development, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Downloads 31 (426,823)

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Network Analysis, Threshold-Minimum Dominating Set, community detection, core inflation, consumer price index

23.

International Business Cycle Synchronization Since the 1870s: Evidence from a Novel Network Approach

Number of pages: 18 Posted: 06 Dec 2015
Vienna University of Economics and Business, Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 24 (460,592)

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Business cycle synchronization, Globalisation, Complex networks

24.

Analyzing the Co-Movements of the US Gross State Product Growth with the Use of the Minimum Dominating Set

Number of pages: 11 Posted: 29 Jan 2014
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Democritus University of Thrace - Department of International Economics and Development
Downloads 24 (460,592)

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Graph Theory, Economic Networks, Minimum Dominating Set, Gross State Product

25.

Testing Purchasing Power Parity Theory with the Hurst Exponent: The Case of 23 OECD Countries

Applied Financial Economics, 23 (17), p.1399-1046, 2013
Number of pages: 12 Posted: 06 Dec 2015
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of International Economics and Development
Downloads 21 (476,552)

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Purchasing Power Parity, Real Exchange Rates, Hurst Exponent, Rolling Window, DFA

26.

Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach

Number of pages: 12 Posted: 12 Oct 2017
Democritus University of Thrace, University of Pretoria - Department of Economics, Democritus University of Thrace - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 17 (503,632)

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output growth, inflation, uncertainty, causality

27.

Testing Exchange Rate Models in a Small Open Economy: An SVR Approach

P. Gogas, T. Papadimitriou and V. Plakandaras, "Testing Exchange Rate Models in a Small Open Economy: an SVR Approach", Bulletin of Applied Economics, 2016, 3(2), 9-29, December 15, 2016
Number of pages: 21 Posted: 22 Jun 2017
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Democritus University of Thrace
Downloads 15 (509,028)

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Exchange Rate, Forecasting, Foreign Exchange Market, Support Vector Regression, Monetary exchange rate models

28.

US Inflation Dynamics on Long Range Data

Number of pages: 26 Posted: 02 Jul 2015
Democritus University of Thrace, Democritus University of Thrace - Department of Economics, University of Pretoria - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 15 (509,028)

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Inflation, Persistence, Hurst exponent, Detrended Fluctuation Analysis, Lyapunov exponent

29.

Business Cycle Convergence: A Survey of Methods and Models

Number of pages: 25 Posted: 06 Dec 2015
Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Democritus University of Thrace - Department of International Economics and Development
Downloads 12 (525,617)

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Business Cycle, Convergence, Synchronization

30.

The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach

Number of pages: 25 Posted: 22 Jun 2017
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace, Democritus University of Thrace and University of Pretoria - Department of Economics
Downloads 11 (531,031)

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U.S. Inflation, forecasting, Support Vector Regression, LASSO

31.

Are There Asymmetries in Fiscal Policy Shocks?

“Are there Asymmetries in Fiscal Policy Shocks”, with I. Pragidis, Journal of Economic Studies, Vol. 42(2), pp. 303-321, 2015.
Number of pages: 24 Posted: 22 Jun 2017
Periklis Gogas and Ioannis Pragidis
Democritus University of Thrace - Department of Economics and Democritus University of Thrace
Downloads 10 (536,420)

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Fiscal Policy, Asymmetric Effects, VAR, TVAR