Angi's Personal Homepages

Projects

Recent papers... more to come soon.

• The impact of festivities on gold price expectation and volatility (International Review of Financial Analysis, 2018)
• The 2016 US presidential election and media on Instagram: Who was in the lead? (Computers in Human Behavior, 2018)
• Frequency aspects of information transmission in a network of three western equity markets (Physica A, 2017)
• The Russian Stock Market during the Ukrainian Crisis: A Network Perspective (Finance a úvěr-Czech Journal of Economics and Finance, 2016)
• Green Segmentation: a Cross-National Study (Marketing Intelligence and Planning, 2015)
• Robust Trading Rule Selection and Forecasting Accuracy (Journal of Systems Science and Complexity, 2014)
• Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy (2013)
• Information Propagation between Equity Markets: the Case of BRICT (2013)
• Chinese New Year and International Gold Markets (2013)
• Does OPEC Announcement Policy matter in the Creation of Crude Oil Price Volatility? (2012)
• Connectedness Cycles in Equity Markets: a Wavelet Approach (2012)
• Understanding Market Connectedness: a Markov Chain Approach (2012)
• Impact of Festivals on Gold Price Expectation and Volatility (2012)
• A Leslie-Type Urban-Rural Migration Model, and the Situation of Germany and Turkey (2012)
• OPEC News Announcements: Effects on Oil Price Expectation and Volatility (Energy Economics, 2012)
• Robust Trading Rule Selection and Forecasting Accuracy (2011)
• Crude Oil Spot Prices and the Market's Perception of Inventory News (2011)
• Currency Carry Trading with MGARCH-Based Carry-To-Risk Portfolio Optimization (2010)
• Action Selection in Customer Value Optimization: an Approach Based on Covariate-Dependent Markov Decision Processes (2009)
• Volatility Spillovers between Crude Oil Prices and US Dollar to Euro Exchange Rates (2008)

Software projects

• WaveletComp: an R package for Computational Wavelet Analysis (on the CRAN server, last update: March 18, 2018)
  Link to our WaveletComp guide
• mgarchBEKK — an R package for simulating, estimating and diagnosing MGARCH (BEKK and mGJR) processes (on the CRAN server, last update: April 10, 2016)
• FinancialNetworks — historical propagation values in financial networks

Document last modified on April 1, 2018.