Kent Centre for Finance

Dr Ekaterini Panopoulou from Kent Business School (KBS) presented her paper “Speculative behaviour and oil price predictability” joint with T. Pantelidis at the 10th BMRC-DEMS Conference on Macro and Financial Economics/Econometrics held at the Brunel University (May 28-30, 2014). The conference was sponsored by the Society for Nonlinear Dynamics and Econometrics (SNDE) and The Money Macro and Finance Research Group (MMF).

A research paper by Dr Antonis Alexandridis has been accepted in the International work-conference on Time Series 2014.

Messis, P., Alexandridis, A., Zapranis, A., “Testing and Comparing Conditional CAPM with A New Approach in The Cross-Sectional Framework”.  The paper will be published in the proceedings Of ITISE 2014, Granada, Spain June 25-27, 2014.

Dr Antonis Alexandridis has published his second book, co-authored with Achilleas D. Zapranis.  Wavelet Neural Networks: With Applications in Financial Engineering, Chaos, and Classification. Wiley.

From the Publishers description:

Through extensive examples and case studies, Wavelet Neural Networks provides a step-by-step introduction to modeling, training, and forecasting using wavelet networks. The acclaimed authors present a statistical model identification framework to successfully apply wavelet networks in various applications, specifically, providing the mathematical and statistical framework needed for model selection, variable selection, wavelet network construction, initialization, training, forecasting and prediction, confidence intervals, prediction intervals, and model adequacy testing. The text is ideal for MBA students as well as researchers and practitioners. Various methodologies are separated into the appropriate procedural stages to facilitate understanding.

Professor Radu Tunaru has published, jointly with Frank Fabozzi and Arturo Leccadito  the paper Extracting Market Information from Equity Options with Exponential Levy Processes, in the Journal of Economic Dynamics and Control, 2014, vol. 38, pp. 125-141. The article has been downloaded or viewed 221 times since publication (measured through 31 March).

Dr Ekaterini Panopoulou’s (KBS) paper “Regime-switching models for exchange rates”, joint with Theologos Pantelidis (University of Macedonia, Greece) has been accepted for publication in the European Journal of Finance. This paper was previously circulated under the title of: “The Forecasting Performance of Regime-Switching Models of Speculative Behaviour for Exchange Rates”

For more details, see the working paper

Dr Ekaterini Panopoulou’s (KBS) paper “Fama French Factors and US Stock Return Predictability”, joint with Sotiria Plastira (University of Piraeus, Greece) has been accepted for publication in the Journal of Asset Management.

For more details, please go to: http://ssrn.com/abstract=1804927

On March 7, Dr Ekaterini Panopoulou presented a recent research paper entitled ‘Out-of-sample equity premium prediction: A complete subset quantile regression approach’ (joint with L. Meligkotsidou, I. Vrontos and S. Vrontos) at the economics and Finance seminar series of the Department of Economics, Finance and Accounting, National University of Ireland, Maynooth.

Professor Radu Tunaru participated in the SUERF Conference on “Two ends of the spectrum – the challenges of risk management and effective resolution”, bringing together top academics and policy makers from UK and Europe.