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 0 3 17
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 0 8 12 94
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 1 46 0 5 9 47
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 0 2 8 183
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 1 1 8 1 6 12 38
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 1 45 0 6 10 95
Forecasting Inflation from the Term Structure 0 0 0 0 1 5 9 456
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 6 9 74
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 0 94 1 3 7 243
Inference for Unit Roots in Dynamic Panels 0 0 0 0 0 3 6 874
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 4 6 68
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 1 5 6 631
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 4 7 6,472
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 0 1 18 2 7 17 138
Is the Currency Risk Priced in Equity Markets? 0 0 0 4 0 1 4 32
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 3 0 6 9 26
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 0 7 14 79
On the determinants of NPLS: lessons from Greece 0 0 0 64 1 7 15 200
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 1 4 5 23
Option Pricing with a Dividend General Equilibrium Model 0 0 2 2 0 5 11 14
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 1 5 8 23
Panel Unit Root Tests with Structural Breaks 0 0 2 82 2 5 18 196
Panel Unit Root Tests with Structural Breaks 0 0 2 27 3 7 22 110
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 0 4 9 1,023
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 1 3 15 1 3 16 65
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 5 6 170
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 4 6 193
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 3 5 31
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 1 19 24 79
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 2 5 23
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 1 3 5 12
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 1 1 158 1 8 16 115
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 0 1 2 341
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 1 2 3 910
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 3 4 385
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 1 2 6 379
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 5 11 283
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 0 2 9 86
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 5 9 92
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 1 1 4 336
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 6 6 50
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 10 14 51
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 0 1 4 12
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 0 1 26 1 11 22 58
Unveiling the monetary policy rule in euro area 0 0 0 91 1 7 8 243
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 1 3 790
Total Working Papers 0 3 16 1,140 25 219 424 15,860
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 3 4 85
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 0 22 0 3 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 5 7 280
A common shift in real interest rates across countries 0 0 0 42 0 2 3 174
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 7 7 64
A fixed-T version of Breitung’s panel data unit root test 0 0 2 15 0 7 12 81
Are regime-shift sources of risk priced in the market? 0 0 0 9 0 5 8 74
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 0 0 4 1 5 15 30
Can country-specific interest rate factors explain the forward premium anomaly? 1 1 2 11 2 9 15 57
Credit risk modelling under recessionary and financially distressed conditions 0 0 1 29 0 2 8 139
Dealing With Endogeneity in Threshold Models Using Copulas 0 1 5 22 0 1 13 52
Detection of structural breaks in linear dynamic panel data models 0 2 2 104 1 5 5 232
Do the Effects of Interest Rate Changes Depend on Inflation? 0 0 0 0 0 6 8 8
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 11 634
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 0 7 3 16 17 32
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 1 3 11 237
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 10 0 4 9 64
Forecasting economic activity from yield curve factors 0 0 1 34 0 10 24 132
Forecasting inflation from the term structure 0 0 0 86 1 4 9 231
Generalized fixed‐T panel unit root tests 0 0 0 4 0 1 4 15
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 4 5 25
Improving variance forecasts: The role of Realized Variance features 0 0 2 6 0 4 8 20
Inference for unit roots in dynamic panels where the time dimension is fixed 1 2 9 550 2 15 55 1,591
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 1 2 5 483
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 1 2 10 0 5 17 38
Level shifts in stock returns driven by large shocks 0 0 0 11 1 3 5 59
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 1 8 14 54
Local power of panel unit root tests allowing for structural breaks 0 1 1 7 1 2 6 38
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 2 2 6 156
Missing Values in Panel Data Unit Root Tests 0 0 0 12 1 5 11 64
Modeling structural breaks in economic relationships using large shocks 0 0 3 70 0 7 17 236
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 6 143
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 1 20 27 65
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 1 5 12 73
Panel unit-root tests with structural breaks 0 0 2 8 2 6 21 43
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 1 120 2 9 14 284
Predicting default risk under asymmetric binary link functions 0 0 1 12 0 3 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 2 13 27 67
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 3 10 16 34
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 1 1 24 1 4 7 118
Real term structure forecasts of consumption growth 0 0 0 8 1 3 10 64
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 1 1 7 143
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 0 3 383
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 4 6 24 74
Shifts in volatility driven by large stock market shocks 0 0 0 8 0 5 9 91
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 0 2 8 48
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 0 3 27
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 1 22 2 4 10 80
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 1 3 10 203
Testing for unit roots in short panels allowing for a structural break 1 1 6 63 2 9 41 242
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 1 3 3 74
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 4 7 439
The forward premium anomaly and the currency carry trade hypothesis 0 1 7 15 3 12 34 51
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 3 9 15 49
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 4 9 88
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 2 5 128
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 1 4 53
Total Journal Articles 3 11 54 2,092 48 295 685 8,636

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 1 2 4
What Drives the Default Risk of Restructured Loans 0 0 0 0 0 3 9 30
Total Chapters 0 0 0 0 0 4 11 34

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Statistics updated 2026-04-09