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 2 7
A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models 0 0 0 102 0 1 6 278
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 1 21 0 2 10 71
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 0 42 1 1 1 25
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 1 3 7 63 3 6 30 127
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 4 11 1,252 0 5 29 2,643
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 2 3 0 0 3 10
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 2 24 27 3 7 39 42
Forecasting Inflation from the Term Structure 0 0 0 0 1 1 6 439
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 7 62
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 1 92 0 0 3 230
Inference for Unit Roots in Dynamic Panels 0 0 0 0 1 5 23 814
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 0 0 57
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 1 3 7 616
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 3 13 6,456
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 1 3 5 5 4 19 45 45
Is the Currency Risk Priced in Equity Markets? 0 0 0 188 1 3 6 653
Is the Currency Risk Priced in Equity Markets? 0 1 1 1 3 4 5 10
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 92 0 0 5 237
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 0 0 0 0 5 8
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 38 0 0 3 53
On the determinants of NPLS: lessons from Greece 1 1 4 54 4 7 30 149
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 362 0 0 4 915
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 1 7 15
Option Pricing with a Dividend General Equilibrium Model 0 0 1 335 0 0 4 1,304
Option Pricing with a Dividend General Equilibrium Model 0 0 0 0 0 0 1 2
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 215 1 1 2 716
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 1 1 0 0 6 8
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 0 1 3 995
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 0 0 712 0 0 0 1,724
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 0 2 4 0 2 18 24
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 163
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 0 2 184
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 1 2 2 10 13
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 1 55 0 1 6 48
Stochastic Volatility Driven by Large Shocks 0 0 0 1 0 1 2 5
Stochastic Volatility Driven by Large Shocks 0 0 0 74 0 2 5 185
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 0 3 6
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 1 156 0 0 3 477
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 1 154 0 2 10 86
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 1 1 6 336
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 0 0 904
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 0 6 380
The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks 0 0 0 135 0 1 1 304
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 0 1 8 366
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 2 267
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 1 2 2 73
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 1 10 75
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 1 1 2 320
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 1 4 39
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 1 1 33
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 1 0 0 2 3
Unveiling the monetary policy rule in euro area 0 1 1 86 2 5 19 220
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 0 4 779
Total Working Papers 3 15 65 4,524 31 95 431 24,001


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 22 0 0 0 76
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 0 19 0 2 4 76
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 80 0 1 3 266
A common shift in real interest rates across countries 0 0 0 42 0 0 2 168
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 10 0 1 6 46
A fixed-T version of Breitung’s panel data unit root test 0 0 2 11 0 0 3 55
Are regime-shift sources of risk priced in the market? 0 1 1 9 0 2 3 59
Credit risk modelling under recessionary and financially distressed conditions 0 0 6 16 2 4 26 78
Detection of structural breaks in linear dynamic panel data models 2 3 8 82 2 5 18 182
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 2 6 608
Fiscal policy and politics: theory and evidence from Greece 1960-1997 1 1 4 72 1 2 6 214
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 7 0 1 2 44
Forecasting economic activity from yield curve factors 0 0 0 19 0 0 5 74
Forecasting inflation from the term structure 0 0 3 85 0 0 8 205
Generalized fixed‐T panel unit root tests 0 0 2 2 0 1 4 5
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 3 0 0 0 12
Inference for unit roots in dynamic panels where the time dimension is fixed 5 7 25 416 18 34 115 1,119
Inflation and Exchange Rate Regimes in Mexico 0 1 1 125 0 1 5 470
Level shifts in stock returns driven by large shocks 0 0 0 8 1 1 3 42
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 12 0 0 0 30
Local power of panel unit root tests allowing for structural breaks 0 0 0 0 0 0 1 16
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 1 1 42 1 2 4 140
Modeling structural breaks in economic relationships using large shocks 0 0 1 65 0 1 4 207
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 28 0 0 0 128
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 1 1 3 0 3 7 20
On regression-based tests for persistence in logarithmic volatility models 0 0 1 13 1 1 6 55
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 1 3 8 109 2 4 10 247
Predicting default risk under asymmetric binary link functions 0 0 0 0 0 0 3 3
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 1 3 0 0 4 14
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 0 22 0 0 2 103
Real term structure forecasts of consumption growth 0 0 0 6 1 1 3 42
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 68 0 0 4 130
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 2 6 372
Retrieving risk neutral moments and expected quadratic variation from option prices 0 1 2 7 0 1 9 33
Shifts in volatility driven by large stock market shocks 0 0 1 8 0 3 11 71
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 5 0 0 5 34
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 1 4 11 17
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 3 20 0 0 5 60
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 0 1 188
Testing for unit roots in short panels allowing for a structural break 0 0 0 17 2 3 8 57
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 16 0 0 4 60
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 2 7 422
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 2 78
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 0 1 117
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 1 1 12 0 1 4 45
Total Journal Articles 9 20 72 1,648 32 85 341 6,488


Statistics updated 2021-01-03