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 2 2 5 19
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 1 2 13 95
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 1 46 2 2 9 49
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 4 5 12 187
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 1 1 8 5 9 17 43
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 0 45 1 1 10 96
Forecasting Inflation from the Term Structure 0 0 0 0 2 4 11 458
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 2 10 75
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 0 94 5 6 12 248
Inference for Unit Roots in Dynamic Panels 0 0 0 0 2 2 7 876
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 4 4 10 72
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 1 6 631
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 2 3 8 6,474
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 1 1 2 19 8 13 25 146
Is the Currency Risk Priced in Equity Markets? 0 0 0 4 2 3 6 34
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 3 1 2 10 27
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 2 4 16 81
On the determinants of NPLS: lessons from Greece 1 1 1 65 2 4 16 202
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 1 3 6 24
Option Pricing with a Dividend General Equilibrium Model 0 0 2 2 0 0 11 14
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 0 2 7 23
Panel Unit Root Tests with Structural Breaks 0 0 2 27 5 8 25 115
Panel Unit Root Tests with Structural Breaks 0 0 2 82 5 8 23 201
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 2 2 10 1,025
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 1 2 15 2 5 17 67
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 2 7 171
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 1 3 7 194
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 1 4 31
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 1 2 25 80
Stochastic Volatility Driven by Large Shocks 0 0 0 2 1 1 6 24
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 3 4 8 15
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 1 158 10 12 25 125
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 2 3 4 343
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 1 3 910
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 1 4 385
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 1 3 7 380
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 3 4 14 286
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 4 4 12 90
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 2 2 11 94
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 1 4 336
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 3 4 9 53
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 5 15 52
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 0 0 3 12
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 1 1 2 27 7 12 29 65
Unveiling the monetary policy rule in euro area 0 0 0 91 1 3 9 244
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 1 1 4 791
Total Working Papers 3 5 17 1,143 103 166 512 15,963
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 2 2 6 87
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 0 22 0 0 5 150
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 7 280
A common shift in real interest rates across countries 0 0 0 42 0 0 3 174
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 1 3 8 65
A fixed-T version of Breitung’s panel data unit root test 0 0 1 15 5 6 16 86
Are regime-shift sources of risk priced in the market? 0 0 0 9 0 0 8 74
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 1 1 1 5 5 6 19 35
Can country-specific interest rate factors explain the forward premium anomaly? 0 1 2 11 2 5 17 59
Credit risk modelling under recessionary and financially distressed conditions 0 0 1 29 2 3 10 141
Dealing With Endogeneity in Threshold Models Using Copulas 0 1 5 22 2 3 15 54
Detection of structural breaks in linear dynamic panel data models 0 1 2 104 9 13 14 241
Do the Effects of Interest Rate Changes Depend on Inflation? 0 0 0 0 0 1 8 8
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 2 3 13 636
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 0 7 0 7 17 32
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 0 1 11 237
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 10 3 4 12 67
Forecasting economic activity from yield curve factors 0 0 1 34 2 3 26 134
Forecasting inflation from the term structure 0 0 0 86 0 1 9 231
Generalized fixed‐T panel unit root tests 0 0 0 4 1 2 5 16
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 4 4 9 29
Improving variance forecasts: The role of Realized Variance features 0 0 2 6 4 4 12 24
Inference for unit roots in dynamic panels where the time dimension is fixed 0 2 7 550 3 9 52 1,594
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 0 1 5 483
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 1 2 10 1 4 18 39
Level shifts in stock returns driven by large shocks 0 0 0 11 2 3 7 61
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 2 4 16 56
Local power of panel unit root tests allowing for structural breaks 0 0 1 7 2 3 8 40
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 1 3 7 157
Missing Values in Panel Data Unit Root Tests 0 0 0 12 1 2 12 65
Modeling structural breaks in economic relationships using large shocks 0 0 2 70 3 5 19 239
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 1 1 7 144
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 1 4 28 66
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 2 4 14 75
Panel unit-root tests with structural breaks 0 0 2 8 4 6 25 47
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 0 120 2 6 15 286
Predicting default risk under asymmetric binary link functions 0 0 1 12 0 2 9 37
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 0 0 4 23 5 9 31 72
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 3 7 19 37
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 1 1 24 5 8 12 123
Real term structure forecasts of consumption growth 0 0 0 8 2 3 12 66
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 0 1 6 143
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 3 3 6 386
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 3 7 27 77
Shifts in volatility driven by large stock market shocks 0 0 0 8 2 4 11 93
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 3 4 10 51
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 1 1 4 28
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 1 22 1 4 11 81
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 10 203
Testing for unit roots in short panels allowing for a structural break 0 1 6 63 9 14 45 251
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 2 3 5 76
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 1 7 439
The forward premium anomaly and the currency carry trade hypothesis 0 0 5 15 2 8 32 53
The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation 0 0 0 7 6 10 21 55
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 1 4 10 89
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 3 4 8 131
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 0 4 53
Total Journal Articles 1 9 48 2,093 120 225 783 8,756

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 0 2 4
What Drives the Default Risk of Restructured Loans 0 0 0 0 1 1 10 31
Total Chapters 0 0 0 0 1 1 12 35

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Statistics updated 2026-05-06