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 2 4 17
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 1 9 12 94
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 1 46 0 6 9 47
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 1 6 8 183
Detection of Structural Breaks in Linear Dynamic Panel Data Models 1 1 1 8 3 6 11 37
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 1 45 0 7 10 95
Forecasting Inflation from the Term Structure 0 0 0 0 1 7 8 455
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 7 9 74
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 0 94 0 5 6 242
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 6 7 68
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 4 5 630
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 0 4 6 6,471
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 1 1 18 3 11 15 136
Is the Currency Risk Priced in Equity Markets? 0 0 0 4 1 1 5 32
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 3 1 8 9 26
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 2 9 14 79
On the determinants of NPLS: lessons from Greece 0 0 0 64 1 11 14 199
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 1 3 4 22
Option Pricing with a Dividend General Equilibrium Model 0 0 2 2 0 7 11 14
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 1 5 7 22
Panel Unit Root Tests with Structural Breaks 0 1 3 82 1 7 18 194
Panel Unit Root Tests with Structural Breaks 0 0 3 27 0 9 22 107
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 0 4 23 1,023
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 1 1 3 15 2 5 15 64
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 6 6 170
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 2 5 6 193
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 1 3 5 31
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 0 18 23 78
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 4 5 23
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 2 4 11
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 1 1 158 1 9 15 114
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 1 2 2 341
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 1 2 909
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 1 4 4 385
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 1 2 5 378
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 1 6 11 283
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 0 4 9 86
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 7 9 92
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 2 3 335
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 1 6 6 50
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 3 12 13 50
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 4 13 21 57
Unveiling the monetary policy rule in euro area 0 0 0 91 1 7 7 242
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 3 790
Total Working Papers 2 5 18 1,140 38 268 421 15,835
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 7 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 1 6 7 280
A common shift in real interest rates across countries 0 0 0 42 0 3 3 174
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 2 7 7 64
A fixed-T version of Breitung’s panel data unit root test 0 0 2 15 1 9 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 0 7 14 29
Can country-specific interest rate factors explain the forward premium anomaly? 0 0 1 10 1 8 13 55
Credit risk modelling under recessionary and financially distressed conditions 0 0 1 29 1 5 9 139
Dealing With Endogeneity in Threshold Models Using Copulas 1 1 5 22 1 4 13 52
Detection of structural breaks in linear dynamic panel data models 1 2 2 104 3 4 4 231
Do the Effects of Interest Rate Changes Depend on Inflation? 0 0 0 0 1 6 8 8
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 2 13 634
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 0 7 4 13 14 29
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 0 4 10 236
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 1 10 1 9 10 64
Forecasting economic activity from yield curve factors 0 0 1 34 1 19 24 132
Forecasting inflation from the term structure 0 0 0 86 0 7 8 230
Generalized fixed‐T panel unit root tests 0 0 0 4 1 2 4 15
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 5 6 25
Improving variance forecasts: The role of Realized Variance features 0 0 2 6 0 5 8 20
Inference for unit roots in dynamic panels where the time dimension is fixed 1 1 8 549 4 19 55 1,589
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 0 2 4 482
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 1 1 3 10 3 11 18 38
Level shifts in stock returns driven by large shocks 0 0 0 11 0 2 4 58
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 1 10 13 53
Local power of panel unit root tests allowing for structural breaks 0 1 1 7 0 1 6 37
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 0 1 5 154
Missing Values in Panel Data Unit Root Tests 0 0 0 12 0 4 10 63
Modeling structural breaks in economic relationships using large shocks 0 1 3 70 2 11 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 4 6 143
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 2 21 26 64
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 1 8 11 72
Panel unit-root tests with structural breaks 0 1 3 8 0 8 22 41
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 4 120 2 7 18 282
Predicting default risk under asymmetric binary link functions 0 0 1 12 2 4 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 26 65
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 1 8 13 31
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 1 1 1 24 2 5 6 117
Real term structure forecasts of consumption growth 0 0 0 8 0 3 9 63
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 0 4 6 142
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 1 3 383
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 0 4 20 70
Shifts in volatility driven by large stock market shocks 0 0 0 8 2 6 9 91
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 1 4 8 48
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 1 3 27
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 1 22 1 4 8 78
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 3 9 202
Testing for unit roots in short panels allowing for a structural break 0 1 5 62 3 10 41 240
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 0 2 2 73
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 1 4 7 439
The forward premium anomaly and the currency carry trade hypothesis 0 1 9 15 3 15 34 48
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 1 7 13 46
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 3 6 9 88
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 1 3 5 128
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 2 4 53
Total Journal Articles 5 11 59 2,089 57 355 666 8,588

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 4 9 30
Total Chapters 0 0 0 0 0 5 11 34

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Statistics updated 2026-03-04