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 4 17
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 1 4 5 86
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 1 46 1 1 6 42
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 4 6 7 181
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 0 7 1 5 6 32
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 1 45 1 2 4 89
Forecasting Inflation from the Term Structure 0 0 0 0 3 4 4 451
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 3 3 68
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 1 94 3 3 5 240
Inference for Unit Roots in Dynamic Panels 0 0 0 0 0 0 4 871
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 2 2 4 64
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 0 2 626
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 2 3 6,468
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 1 1 1 18 6 10 12 131
Is the Currency Risk Priced in Equity Markets? 0 0 1 4 0 3 6 31
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 3 2 2 4 20
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 2 7 7 72
On the determinants of NPLS: lessons from Greece 0 0 1 64 5 6 9 193
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 1 1 19
Option Pricing with a Dividend General Equilibrium Model 0 1 2 2 2 5 6 9
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 1 1 3 18
Panel Unit Root Tests with Structural Breaks 0 0 4 27 5 8 20 103
Panel Unit Root Tests with Structural Breaks 1 1 3 82 4 8 17 191
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 0 2 19 1,019
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 0 3 14 3 11 15 62
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 1 1 165
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 1 2 2 189
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 1 2 28
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 0 5 6 60
Stochastic Volatility Driven by Large Shocks 0 0 0 2 2 2 3 21
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 1 2 9
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 0 157 2 3 10 107
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 1 1 1 340
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 0 1 908
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 1 1 1 382
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 1 2 4 377
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 1 4 6 278
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 2 4 7 84
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 2 4 5 87
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 2 2 4 335
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 0 0 44
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 3 4 4 41
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 0 2 4 11
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 1 3 26 3 8 17 47
Unveiling the monetary policy rule in euro area 0 0 0 91 1 1 1 236
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 4 789
Total Working Papers 2 4 22 1,137 74 147 261 15,641
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 1 1 5 82
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 1 22 0 1 3 147
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 1 4 275
A common shift in real interest rates across countries 0 0 0 42 1 1 1 172
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 0 0 57
A fixed-T version of Breitung’s panel data unit root test 0 0 2 15 2 2 6 74
Are regime-shift sources of risk priced in the market? 0 0 0 9 0 3 3 69
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 0 0 4 3 6 12 25
Can country-specific interest rate factors explain the forward premium anomaly? 0 1 1 10 1 4 7 48
Credit risk modelling under recessionary and financially distressed conditions 0 1 1 29 3 5 8 137
Dealing With Endogeneity in Threshold Models Using Copulas 0 1 4 21 3 8 12 51
Detection of structural breaks in linear dynamic panel data models 0 0 0 102 0 0 0 227
Do the Effects of Interest Rate Changes Depend on Inflation? 0 0 0 0 0 2 2 2
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 8 12 633
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 1 7 0 1 2 16
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 2 7 17 234
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 1 10 5 5 7 60
Forecasting economic activity from yield curve factors 0 1 1 34 9 13 15 122
Forecasting inflation from the term structure 0 0 0 86 4 5 5 227
Generalized fixed‐T panel unit root tests 0 0 0 4 1 2 3 14
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 1 1 2 21
Improving variance forecasts: The role of Realized Variance features 0 0 3 6 1 2 6 16
Inference for unit roots in dynamic panels where the time dimension is fixed 0 3 7 548 6 21 43 1,576
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 1 2 3 481
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 0 3 9 6 8 15 33
Level shifts in stock returns driven by large shocks 0 0 0 11 0 2 2 56
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 3 4 8 46
Local power of panel unit root tests allowing for structural breaks 0 0 0 6 0 1 5 36
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 1 3 5 154
Missing Values in Panel Data Unit Root Tests 0 0 0 12 0 2 7 59
Modeling structural breaks in economic relationships using large shocks 1 2 3 70 4 5 10 229
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 3 3 6 142
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 2 7 7 45
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 4 5 9 68
Panel unit-root tests with structural breaks 1 1 3 8 4 7 19 37
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 4 120 0 3 11 275
Predicting default risk under asymmetric binary link functions 0 0 1 12 1 2 9 34
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 0 0 6 23 2 6 19 54
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 1 5 6 24
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 0 23 2 3 3 114
Real term structure forecasts of consumption growth 0 0 0 8 1 3 8 61
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 4 5 6 142
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 1 3 3 383
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 2 6 19 68
Shifts in volatility driven by large stock market shocks 0 0 0 8 1 2 6 86
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 2 4 8 46
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 1 3 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 7 76
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 5 8 200
Testing for unit roots in short panels allowing for a structural break 1 1 10 62 3 9 44 233
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 0 0 0 71
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 3 3 435
The forward premium anomaly and the currency carry trade hypothesis 0 0 10 14 6 9 28 39
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 3 8 40
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 2 4 5 84
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 1 2 3 126
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 1 3 4 52
Total Journal Articles 3 11 64 2,081 108 235 482 8,341

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 3 3
What Drives the Default Risk of Restructured Loans 0 0 0 0 1 2 6 27
Total Chapters 0 0 0 0 1 2 9 30

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Statistics updated 2026-01-09