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 0 13
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 1 1 2 82
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 0 0 45 2 2 3 38
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 1 1 2 175
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 1 7 0 0 2 26
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 2 44 0 0 5 85
Forecasting Inflation from the Term Structure 0 0 0 0 0 0 1 447
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 1 65
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 1 1 94 0 1 1 236
Inference for Unit Roots in Dynamic Panels 0 0 0 0 0 4 9 868
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 1 2 61
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 1 1 1 625
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 0 0 1 6,465
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 0 0 17 0 2 4 121
Is the Currency Risk Priced in Equity Markets? 1 1 2 4 2 3 5 27
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 0 2 1 1 1 17
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 0 0 1 65
On the determinants of NPLS: lessons from Greece 1 1 2 64 1 1 3 185
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 0 0 18
Option Pricing with a Dividend General Equilibrium Model 0 0 0 0 0 0 0 3
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 0 0 0 15
Panel Unit Root Tests with Structural Breaks 0 0 1 79 1 2 4 176
Panel Unit Root Tests with Structural Breaks 1 2 5 24 1 6 27 85
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 0 0 0 1,000
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary 1 1 2 12 2 2 5 49
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 164
Regression-Based Tests for Persistence in Conditional Variances 0 0 0 0 0 0 0 187
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 0 0 1 26
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 0 1 2 55
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 0 0 18
Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms 0 0 0 0 0 0 0 7
Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite 0 0 2 157 2 2 6 99
Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms 0 0 0 161 0 0 0 339
Tests of Structural Stability of Risk Premia and Returns Relationship 0 0 0 0 0 1 1 907
The Asymptotic Influence of VAR Dimension on Estimator Biases 0 0 0 0 0 0 0 381
The Influence of VAR Dimensions on Estimator Biases 0 0 0 0 0 0 0 373
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 1 272
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 0 0 0 77
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 1 1 2 83
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 1 1 3 332
The local power of fixed-T panel unit root tests allowing for serially correlated errors 0 0 0 7 0 0 1 44
The power performance of fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 0 0 0 37
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 1 1 2 8
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 2 2 5 25 3 7 13 36
Unveiling the monetary policy rule in euro area 0 0 1 91 0 0 1 235
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 2 2 2 787
Total Working Papers 6 8 24 1,122 23 44 115 15,414
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 1 78
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 1 1 22 0 2 3 145
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 2 2 273
A common shift in real interest rates across countries 0 0 0 42 0 0 0 171
A comparison of investors’ sentiments and risk premium effects on valuing shares 0 0 0 13 0 0 1 57
A fixed-T version of Breitung’s panel data unit root test 0 0 0 13 0 1 3 69
Are regime-shift sources of risk priced in the market? 0 0 0 9 0 0 1 66
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects 0 0 2 4 1 2 10 15
Can country-specific interest rate factors explain the forward premium anomaly? 0 0 1 9 0 1 6 42
Credit risk modelling under recessionary and financially distressed conditions 0 0 0 28 0 1 3 130
Dealing With Endogeneity in Threshold Models Using Copulas 0 1 3 17 0 1 6 39
Detection of structural breaks in linear dynamic panel data models 0 0 0 102 0 0 4 227
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 621
Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach 0 1 2 7 0 1 6 15
Fiscal policy and politics: theory and evidence from Greece 1960-1997 0 1 1 73 9 10 11 226
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 0 9 0 1 2 54
Forecasting economic activity from yield curve factors 0 0 0 33 0 1 1 108
Forecasting inflation from the term structure 0 0 0 86 0 0 3 222
Generalized fixed‐T panel unit root tests 0 0 0 4 0 0 1 11
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 0 1 19
Improving variance forecasts: The role of Realized Variance features 1 1 4 4 1 2 11 12
Inference for unit roots in dynamic panels where the time dimension is fixed 0 1 16 541 1 5 67 1,534
Inflation and Exchange Rate Regimes in Mexico 0 0 1 127 0 0 1 478
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 1 3 7 0 2 5 20
Level shifts in stock returns driven by large shocks 0 0 0 11 0 0 0 54
Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends 0 0 0 17 1 2 2 40
Local power of panel unit root tests allowing for structural breaks 0 0 0 6 0 0 1 31
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 1 45 0 0 2 149
Missing Values in Panel Data Unit Root Tests 0 0 2 12 1 2 13 53
Modeling structural breaks in economic relationships using large shocks 0 0 1 67 0 0 2 219
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 1 1 2 137
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 0 1 3 38
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 2 2 2 61
Panel unit-root tests with structural breaks 0 0 0 5 0 3 7 19
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 1 116 0 0 3 264
Predicting default risk under asymmetric binary link functions 0 0 1 11 3 4 6 28
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 1 2 8 19 2 4 14 39
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 0 0 1 18
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 0 23 0 0 0 111
Real term structure forecasts of consumption growth 0 0 0 8 1 1 1 54
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 1 70 0 0 1 136
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 0 0 0 380
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 9 1 1 7 50
Shifts in volatility driven by large stock market shocks 0 0 0 8 1 2 4 82
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 1 2 2 40
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 0 0 1 24
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 0 21 1 1 3 70
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 1 1 193
Testing for unit roots in short panels allowing for a structural break 1 6 14 57 3 14 49 199
The EMU effects on asset market holdings and the recent financial crisis 0 0 0 17 0 0 1 71
The Influence of VAR Dimensions on Estimator Biases 0 0 0 1 0 0 3 432
The forward premium anomaly and the currency carry trade hypothesis 1 2 6 6 2 3 14 14
The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation 0 0 1 7 0 1 4 33
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 0 79
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 0 2 123
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 0 1 1 49
Total Journal Articles 4 17 71 2,030 35 79 301 7,922

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 2 2 2 2
What Drives the Default Risk of Restructured Loans 0 0 0 0 0 0 5 21
Total Chapters 0 0 0 0 2 2 7 23

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Statistics updated 2025-03-03