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 5 19
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 2 3 15 97
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 1 46 0 2 9 49
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 0 4 12 187
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 1 8 0 6 17 43
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 0 45 0 1 10 96
Forecasting Inflation from the Term Structure 0 0 0 0 1 4 12 459
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 1 10 75
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 0 94 0 6 12 248
Inference for Unit Roots in Dynamic Panels 0 0 0 0 1 3 8 877
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 4 10 72
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 1 6 631
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 4 9 6,475
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 1 2 19 0 10 25 146
Is the Currency Risk Priced in Equity Markets? 0 0 0 4 0 2 6 34
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 0 3 0 1 9 27
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 0 2 16 81
On the determinants of NPLS: lessons from Greece 0 1 1 65 0 3 16 202
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 1 3 7 25
Option Pricing with a Dividend General Equilibrium Model 0 0 2 2 1 1 12 15
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 0 1 6 23
Panel Unit Root Tests with Structural Breaks 0 0 2 82 0 7 22 201
Panel Unit Root Tests with Structural Breaks 0 0 2 27 0 8 25 115
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 1 3 10 1,026
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 0 0 1 15 2 5 18 69
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 7 171
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 1 7 194
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 0 4 31
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 1 3 26 81
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 1 6 24
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 4 8 15
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 1 158 0 11 25 125
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 0 2 4 343
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 1 3 910
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 0 4 385
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 0 2 7 380
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 3 14 286
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 0 4 12 90
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 1 3 12 95
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 1 4 336
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 3 9 53
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 3 16 53
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 0 0 3 12
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 1 2 27 2 10 30 67
Unveiling the monetary policy rule in euro area 0 0 0 91 0 2 9 244
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 4 791
Total Working Papers 0 3 15 1,143 15 143 521 15,978
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 2 6 87
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 0 22 0 0 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 0 7 280
A common shift in real interest rates across countries 0 0 0 42 0 0 3 174
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 1 8 65
A fixed-T version of Breitung’s panel data unit root test 0 0 1 15 0 5 16 86
Are regime-shift sources of risk priced in the market? 0 0 0 9 4 4 12 78
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 1 1 5 2 8 21 37
Can country-specific interest rate factors explain the forward premium anomaly? 0 1 2 11 0 4 17 59
Credit risk modelling under recessionary and financially distressed conditions 0 0 1 29 1 3 11 142
Dealing With Endogeneity in Threshold Models Using Copulas 0 0 5 22 0 2 15 54
Detection of structural breaks in linear dynamic panel data models 0 0 2 104 0 10 14 241
Do the Effects of Interest Rate Changes Depend on Inflation? 0 0 0 0 0 0 8 8
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 2 13 636
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 0 0 7 2 5 19 34
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 0 0 73 1 2 12 238
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 10 0 3 12 67
Forecasting economic activity from yield curve factors 0 0 1 34 0 2 26 134
Forecasting inflation from the term structure 0 0 0 86 0 1 9 231
Generalized fixed‐T panel unit root tests 0 0 0 4 0 1 5 16
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 1 5 10 30
Improving variance forecasts: The role of Realized Variance features 0 0 2 6 1 5 13 25
Inference for unit roots in dynamic panels where the time dimension is fixed 0 1 7 550 6 11 54 1,600
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 0 1 5 483
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 0 2 10 0 1 17 39
Level shifts in stock returns driven by large shocks 0 0 0 11 1 4 8 62
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 0 3 15 56
Local power of panel unit root tests allowing for structural breaks 0 0 1 7 0 3 8 40
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 2 5 9 159
Missing Values in Panel Data Unit Root Tests 0 0 0 12 0 2 11 65
Modeling structural breaks in economic relationships using large shocks 0 0 2 70 1 4 20 240
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 7 144
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 0 2 28 66
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 0 3 14 75
Panel unit-root tests with structural breaks 0 0 2 8 1 7 26 48
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 0 120 0 4 15 286
Predicting default risk under asymmetric binary link functions 0 0 1 12 0 0 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 3 23 0 7 29 72
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 0 6 19 37
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 1 24 1 7 13 124
Real term structure forecasts of consumption growth 0 0 0 8 2 5 12 68
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 0 1 6 143
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 3 6 386
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 0 7 27 77
Shifts in volatility driven by large stock market shocks 0 0 0 8 0 2 11 93
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 1 4 11 52
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 1 4 28
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 1 22 1 4 12 82
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 1 10 203
Testing for unit roots in short panels allowing for a structural break 0 1 4 63 2 13 40 253
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 1 4 6 77
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 0 7 439
The forward premium anomaly and the currency carry trade hypothesis 0 0 5 15 1 6 33 54
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 0 9 19 55
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 1 10 89
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 3 8 131
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 0 4 53
Total Journal Articles 0 4 45 2,093 32 200 795 8,788

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 2 4
What Drives the Default Risk of Restructured Loans 0 0 0 0 0 1 9 31
Total Chapters 0 0 0 0 0 1 11 35

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Statistics updated 2026-06-04