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 4 19
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 2 3 18 100
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 0 46 0 0 8 49
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 1 1 78 0 2 14 189
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 1 8 1 1 18 45
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 0 45 0 0 9 96
Forecasting Inflation from the Term Structure 0 0 0 0 0 0 12 459
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 10 75
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 0 94 0 1 12 249
Inference for Unit Roots in Dynamic Panels 0 0 0 0 0 0 6 877
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 0 10 72
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 0 5 631
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 0 1 10 6,476
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 1 1 3 20 1 1 27 148
Is the Currency Risk Priced in Equity Markets? 0 1 1 5 0 1 8 36
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 0 3 0 0 9 27
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 0 1 17 82
On the determinants of NPLS: lessons from Greece 0 0 1 65 0 1 17 204
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 1 8 26
Option Pricing with a Dividend General Equilibrium Model 0 0 1 2 1 1 12 16
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 0 0 7 24
Panel Unit Root Tests with Structural Breaks 0 0 0 27 0 0 20 115
Panel Unit Root Tests with Structural Breaks 1 1 2 83 1 6 24 207
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 1 2 11 1,028
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 0 1 15 0 5 23 74
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 8 172
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 0 8 195
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 1 5 32
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 1 2 28 83
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 0 5 24
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 1 8 16
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 1 158 1 2 23 127
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 0 0 4 343
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 0 2 910
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 1 1 6 387
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 0 0 5 380
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 12 286
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 0 0 11 91
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 0 12 95
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 0 3 336
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 0 9 53
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 17 54
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 13
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 0 2 27 0 5 35 74
Unveiling the monetary policy rule in euro area 0 0 0 91 1 2 12 247
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 4 792
Total Working Papers 2 4 14 1,147 11 42 540 16,034
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 0 6 87
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 0 22 0 1 5 151
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 7 281
A common shift in real interest rates across countries 0 0 0 42 0 1 4 175
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 1 9 66
A fixed-T version of Breitung’s panel data unit root test 0 0 0 15 0 0 14 86
Are regime-shift sources of risk priced in the market? 2 2 2 11 2 2 14 80
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 1 2 6 2 5 25 44
Can country-specific interest rate factors explain the forward premium anomaly? 0 0 2 11 1 2 17 61
Credit risk modelling under recessionary and financially distressed conditions 0 0 2 30 1 2 13 145
Dealing With Endogeneity in Threshold Models Using Copulas 0 0 3 23 0 0 13 56
Detection of structural breaks in linear dynamic panel data models 0 0 2 104 0 1 15 242
Do the Effects of Interest Rate Changes Depend on Inflation? 1 1 1 1 2 2 11 11
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 12 637
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 0 7 0 0 20 35
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 0 0 11 238
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 10 1 2 14 69
Forecasting economic activity from yield curve factors 0 0 1 34 0 0 26 135
Forecasting inflation from the term structure 0 0 0 86 0 1 10 232
Generalized fixed‐T panel unit root tests 0 0 1 5 1 3 8 20
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 1 11 31
Improving variance forecasts: The role of Realized Variance features 0 0 0 6 0 1 14 28
Inference for unit roots in dynamic panels where the time dimension is fixed 0 1 7 552 3 7 61 1,616
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 0 1 5 484
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 2 5 14 1 6 23 48
Level shifts in stock returns driven by large shocks 0 0 0 11 0 0 8 62
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 1 2 16 58
Local power of panel unit root tests allowing for structural breaks 0 0 1 7 0 0 5 40
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 1 2 10 161
Missing Values in Panel Data Unit Root Tests 0 0 0 12 0 1 9 66
Modeling structural breaks in economic relationships using large shocks 0 0 2 70 1 2 18 242
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 1 3 8 147
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 0 0 28 66
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 0 1 13 76
Panel unit-root tests with structural breaks 0 1 2 9 0 4 22 52
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 0 120 0 1 15 287
Predicting default risk under asymmetric binary link functions 0 0 0 12 0 1 6 38
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 0 0 0 23 0 2 26 74
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 0 2 21 40
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 1 24 0 0 13 124
Real term structure forecasts of consumption growth 1 1 1 9 1 2 12 70
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 1 1 7 144
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 1 7 387
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 0 10 1 1 17 79
Shifts in volatility driven by large stock market shocks 0 0 0 8 0 1 10 94
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 0 0 10 52
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 1 5 29
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 0 22 1 2 12 84
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 8 203
Testing for unit roots in short panels allowing for a structural break 0 1 4 65 2 7 38 262
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 0 2 8 79
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 0 8 440
The forward premium anomaly and the currency carry trade hypothesis 1 1 2 16 2 7 31 61
The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation 0 0 1 8 0 0 20 57
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 9 89
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 0 7 131
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 0 5 54
Total Journal Articles 5 11 42 2,112 26 87 800 8,906

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 1 1 2 5
What Drives the Default Risk of Restructured Loans 0 0 0 0 1 4 10 35
Total Chapters 0 0 0 0 2 5 12 40

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Statistics updated 2026-10-11