Access Statistics for Elias Tzavalis

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models 0 0 0 0 0 1 1 14
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 0 1 2 82
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 0 45 2 4 5 40
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 0 1 2 175
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 1 7 0 0 2 26
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 1 1 1 45 1 1 4 86
Forecasting Inflation from the Term Structure 0 0 0 0 0 0 1 447
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 1 65
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 1 94 0 0 1 236
Inference for Unit Roots in Dynamic Panels 0 0 0 0 1 1 9 869
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 1 3 62
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 1 1 625
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 1 1 6,466
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 0 0 17 0 0 3 121
Is the Currency Risk Priced in Equity Markets? 0 1 2 4 0 3 6 28
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 0 2 0 1 1 17
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 0 0 0 65
On the determinants of NPLS: lessons from Greece 0 1 1 64 1 2 3 186
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 0 0 18
Option Pricing with a Dividend General Equilibrium Model 0 0 0 0 0 0 0 3
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 1 1 1 16
Panel Unit Root Tests with Structural Breaks 0 1 2 80 0 3 6 178
Panel Unit Root Tests with Structural Breaks 0 2 6 25 2 6 27 90
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 1 15 15 1,015
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 1 2 2 13 1 3 4 50
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 164
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 0 0 187
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 1 1 2 27
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 0 0 2 55
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 0 0 18
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 0 0 7
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 1 157 1 3 6 100
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 0 0 0 339
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 0 1 907
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 0 0 381
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 0 0 0 373
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 0 272
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 1 1 1 78
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 1 2 83
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 1 3 332
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 0 1 44
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 0 37
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 1 2 3 9
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 2 4 25 0 3 12 36
Unveiling the monetary policy rule in euro area 0 0 0 91 0 0 0 235
Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure? 0 0 0 0 0 2 2 787
Total Working Papers 2 10 21 1,126 15 60 134 15,451
11 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series 0 0 0 23 0 4 4 81
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 1 22 0 0 3 145
A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests 0 0 0 81 0 1 2 273
A common shift in real interest rates across countries 0 0 0 42 0 0 0 171
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 0 1 57
A fixed-T version of Breitung’s panel data unit root test 1 1 1 14 1 1 3 70
Are regime-shift sources of risk priced in the market? 0 0 0 9 0 0 1 66
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 0 2 4 1 2 11 16
Can country-specific interest rate factors explain the forward premium anomaly? 0 0 1 9 0 0 5 42
Credit risk modelling under recessionary and financially distressed conditions 0 0 0 28 0 1 4 131
Dealing With Endogeneity in Threshold Models Using Copulas 0 0 3 17 0 0 5 39
Detection of structural breaks in linear dynamic panel data models 0 0 0 102 0 0 3 227
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 2 2 623
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 2 7 0 0 5 15
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 1 73 0 9 10 226
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 1 1 10 0 1 3 55
Forecasting economic activity from yield curve factors 0 0 0 33 0 0 1 108
Forecasting inflation from the term structure 0 0 0 86 0 0 2 222
Generalized fixed‐T panel unit root tests 0 0 0 4 0 0 0 11
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 1 2 20
Improving variance forecasts: The role of Realized Variance features 0 1 2 4 0 1 7 12
Inference for unit roots in dynamic panels where the time dimension is fixed 2 2 14 543 6 9 55 1,542
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 0 0 0 478
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 1 3 8 0 1 4 21
Level shifts in stock returns driven by large shocks 0 0 0 11 0 0 0 54
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 0 1 2 40
Local power of panel unit root tests allowing for structural breaks 0 0 0 6 0 1 2 32
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 1 45 0 1 2 150
Missing Values in Panel Data Unit Root Tests 0 0 2 12 0 1 9 53
Modeling structural breaks in economic relationships using large shocks 1 1 2 68 1 1 3 220
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 0 1 2 137
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 0 0 3 38
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 0 2 2 61
Panel unit-root tests with structural breaks 0 1 1 6 0 3 10 22
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 1 4 5 120 1 7 10 271
Predicting default risk under asymmetric binary link functions 0 0 1 11 0 3 6 28
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 0 1 7 19 1 4 15 41
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 0 0 1 18
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 0 23 0 0 0 111
Real term structure forecasts of consumption growth 0 0 0 8 0 1 1 54
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 1 70 1 1 2 137
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 0 0 380
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 9 0 1 7 50
Shifts in volatility driven by large stock market shocks 0 0 0 8 0 1 3 82
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 1 2 3 41
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 0 1 24
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 0 21 0 1 2 70
Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends 0 0 0 54 0 1 1 193
Testing for unit roots in short panels allowing for a structural break 0 1 13 57 5 10 51 206
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 0 0 1 71
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 0 2 432
The forward premium anomaly and the currency carry trade hypothesis 2 5 10 10 4 9 21 21
The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation 0 0 1 7 0 1 4 34
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 0 79
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 0 1 123
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 0 1 49
Total Journal Articles 7 19 76 2,045 22 86 301 7,973

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series 0 0 0 0 0 2 2 2
What Drives the Default Risk of Restructured Loans 0 0 0 0 0 0 4 21
Total Chapters 0 0 0 0 0 2 6 23

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Statistics updated 2025-05-12