Catherine Kyrtsou

University of Macedonia - Department of Economics

Assistant Professor

Egnatia str., 156

Thessaloniki 54006

Greece

http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

University of Strasbourg - BETA

Associate Researcher

61 avenue de la Forêt Noire

67085 Strasbourg Cedex

France

http://cournot2.u-strasbg.fr/users/beta/

SCHOLARLY PAPERS

18

DOWNLOADS

629

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (18)

1.

Nonlinear Features of Comovements Between Commodity Prices and Inflation

FESTSCHRIFT SYMPOSIUM FOR WALTER C. LABYS, Agricultural and Resource Economics, West Virginia University, May 7, 2007
Number of pages: 13 Posted: 28 Jun 2007
Catherine Kyrtsou
University of Macedonia - Department of Economics
Downloads 278 (113,866)

Abstract:

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2.

Seasonal Mackey-Glass-Garch Process and Short-Term Dynamics

Number of pages: 23 Posted: 26 May 2003 Last Revised: 30 Nov 2008
Catherine Kyrtsou and Michel Terraza
University of Macedonia - Department of Economics and Université Montpellier I - Department of Economics
Downloads 135 (221,143)
Citation 2

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Noisy chaos, short-term dynamics, correlation dimension, Lyapunov exponents, recurrence quantifications, forecasting

3.

Energy Sector Pricing: On the Role of Neglected Nonlinearity

Number of pages: 34 Posted: 12 Feb 2009
University of Macedonia - Department of Economics, Loyola University of Chicago - Department of Economics and University of Calgary - Department of Economics
Downloads 117 (246,546)

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Energy, Nonlinearity, Chaotic Dynamics

4.

The Impact of Information Signals on Market Prices When Agents Have Non-Linear Trading Rules

Economic Modelling, Vol. 26, pp. 167-176, 2009
Number of pages: 21 Posted: 23 Feb 2006 Last Revised: 12 Feb 2009
Catherine Kyrtsou and A. (Tassos) G. Malliaris
University of Macedonia - Department of Economics and Loyola University of Chicago - Department of Economics
Downloads 71 (338,942)

Abstract:

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non-linearity, Logistic equation, Heteroskedastic Mackey-Glass model, attractors, information signals, spurious seasonality

5.

F-Vine Copula: Profiting from Asset Price Heterogeneity to Estimate Systematic Risk

Number of pages: 29 Posted: 24 Apr 2017
Catherine Kyrtsou, Anna Nicolaou and Manthos Vogiatzoglou
University of Macedonia - Department of Economics, University of Macedonia and University of Macedonia - Department of Business Administration
Downloads 28 (495,173)

Abstract:

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6.

Reexaminating the Sources of Heteroskedasticity: The Paradigm of Noisy Chaotic Models

Physica A, 2008
Posted: 18 Sep 2008
Catherine Kyrtsou
University of Macedonia - Department of Economics

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Heteroskedasticity, noisy chaos, endogenous dynamics, econophysics

7.

Exploring the Impact of Calendar Effects on the Dynamic Structure and Forecasts of Financial Time Series

International Journal of Theoretical and Applied Finance, Vol. 9, No. 1, 2006
Posted: 24 Jul 2007
Catherine Kyrtsou, Alexandros Leontitsis and Costas Siriopoulos
University of Macedonia - Department of Economics, University of Ioannina - Department of Education and Zayed University, College of Business

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Mackey-Glass-GARCH, Calendar Effects, Forecasting

8.

It is Possible to Study Chaotic and Arch Behaviour Jointly? Application of a Noisy Mackey-Glass Equation With Heteroskedastic Errors to the Paris Stock Exchange Returns Series

Computational Economics, Vol. 21, pp. 257-276, 2003
Posted: 25 Jun 2007
Catherine Kyrtsou and Michel Terraza
University of Macedonia - Department of Economics and Université Montpellier I - Department of Economics

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Mackey-Glass equation, noisy chaos, volatility clustering, correlation dimension, Lyapunov exponents, GARCH effects, forecasting

Evidence for Nonlinear Asymmetric Causality in U.S. Inflation, Metal and Stock Returns

Technical Report, Working Group on Nonlinear Dynamics in Economic and Social Systems, University of Macedonia, Thessaloniki, Greece
Posted: 24 Jun 2007
Dimitris Hristu-Varsakelis and Catherine Kyrtsou
University of Macedonia and University of Macedonia - Department of Economics

Abstract:

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Granger Causality, Nonlinear Causality, Bivariate Noisy Mackey-Glass Model

Evidence for Nonlinear Asymmetric Causality in U.S. Inflation, Metal and Stock Returns

Discrete Dynamics in Nature and Society, Forthcoming
Posted: 12 May 2008
Dimitris Hristu-Varsakelis and Catherine Kyrtsou
University of Macedonia and University of Macedonia - Department of Economics

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Granger Causality, Nonlinear Causality, Bivariate Noisy Mackey-Glass Model

10.

Evidence for Neglected Linearity in Noisy Chaotic Models

International Journal of Bifurcation and Chaos, Vol. 15, pp. 3391-3394, 2005
Posted: 24 Jun 2007
Catherine Kyrtsou
University of Macedonia - Department of Economics

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Non-linearity, White test, Theiler et al. test, noisy chaos, attractors, Mackey-Glass-ARCH model

11.

Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Journal of Macroeconomics, Vol. 28, No. 1, 2006
Posted: 24 Jun 2007
Catherine Kyrtsou and Walter C. Labys
University of Macedonia - Department of Economics and West Virginia University - Department of Agricultural and Resource Economics

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Non-linear causality, dynamic non-linearity, US inflation, commodity prices, bivariate noisy Mackey-Glass model

12.

Univariate Tests for Nonlinear Structure

Journal of Macroeconomics, Vol. 28, No. 1, 2006
Posted: 24 Jun 2007
Catherine Kyrtsou and Apostolos Serletis
University of Macedonia - Department of Economics and University of Calgary - Department of Economics

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Nonlinearity, Chaos, Self-organized criticality, Mackey-Glass-GARCH

13.

Nonlinear Short-Term Interest Rate Dynamics

Journal of Macroeconomics, Forthcoming
Posted: 24 Jun 2007
Catherine Kyrtsou and Costas E. Vorlow
University of Macedonia - Department of Economics and affiliation not provided to SSRN

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BEKK GARCH and Mackey-Glass processes, Comovements, Interest Rates, Non-linear Dynamics

14.

Complex Dynamics in Macroeconomics: A Novel Approach

NEW TRENDS IN MACROECONOMICS, C. Diebolt and C. Kyrtsou, eds., Springer-Verlag, Berlin, September 2005
Posted: 23 Jun 2007
Catherine Kyrtsou and Costas E. Vorlow
University of Macedonia - Department of Economics and affiliation not provided to SSRN

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Recurrence Plots, Recurrence Quantification Analysis, Chaos,

15.

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

Physica A, Vol. 377, pp. 227-229, 2007
Posted: 23 Jun 2007
Catherine Kyrtsou and Walter C. Labys
University of Macedonia - Department of Economics and West Virginia University - Department of Agricultural and Resource Economics

Abstract:

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Positive feedback, multivariate time series, noisy chaos, noisy Mackey-Glass process, economic time series

16.

Value at Risk, Outliers and Chaotic Dynamics

Posted: 11 Sep 2004
Catherine Kyrtsou and Virginie Terraza
University of Macedonia - Department of Economics and Universite du Luxembourg

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17.

Noisy Chaotic Dynamics in Commodity Markets

Empirical Economics, Vol. 29, pp. 489-502, 2004
Posted: 06 May 2003
Catherine Kyrtsou, Walter C. Labys and Michel Terraza
University of Macedonia - Department of Economics, West Virginia University - Department of Agricultural and Resource Economics and Université Montpellier I - Department of Economics

Abstract:

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Commodity Futures Prices, Risk and Price Expectations, Noisy Chaotic Processes, Correlation Dimension Analysis, Nonlinear Models, Short Term Price Forecasting

18.

Stochastic Chaos or Arch Effects in Stock Series? A Comparative Study

International Review of Financial Analysis, Vol. 11, pp. 407-431, 2002
Posted: 06 May 2003
Catherine Kyrtsou and Michel Terraza
University of Macedonia - Department of Economics and Université Montpellier I - Department of Economics

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ARCH, stochastic chaos, heterogeneous agents, long and short memory, forecasting