Access Statistics for Elias Tzavalis

Author contact details at EconPapers.

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 2 15
A comparison of investors' sentiments and risk premium effects on valuing shares 0 0 0 23 2 3 4 85
A fixed-T version of Breitung's panel data unit root test and its asymptotic local power 0 1 1 46 0 1 5 41
Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier 0 0 0 77 2 2 3 177
Detection of Structural Breaks in Linear Dynamic Panel Data Models 0 0 0 7 2 4 5 31
Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach 0 0 1 45 1 1 3 88
Forecasting Inflation from the Term Structure 0 0 0 0 0 1 1 448
Generalized fixed-T panel unit root tests allowing for structural breaks 0 0 0 6 1 2 2 67
Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks 0 0 1 94 0 0 2 237
Inference for Unit Roots in Dynamic Panels 0 0 0 0 0 0 7 871
Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends 0 0 0 0 0 0 2 62
Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors 0 0 0 2 0 1 2 626
Inflation and Exchange Rate Regimes in Mexico 0 0 0 2 1 1 2 6,467
Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals 0 0 0 17 1 4 6 125
Is the Currency Risk Priced in Equity Markets? 0 0 1 4 1 3 7 31
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 1 3 0 0 2 18
On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors 0 0 0 40 1 5 5 70
On the determinants of NPLS: lessons from Greece 0 0 1 64 1 1 4 188
Option Pricing under Discrete Shifts in Stock Returns 0 0 0 0 0 1 1 19
Option Pricing with a Dividend General Equilibrium Model 1 1 2 2 2 3 4 7
Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension 0 0 0 3 0 0 2 17
Panel Unit Root Tests with Structural Breaks 0 0 5 27 2 4 19 98
Panel Unit Root Tests with Structural Breaks 0 1 2 81 3 6 13 187
Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece 0 0 0 2 2 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 1 8 12 59
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 1 1 188
Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates 0 0 0 2 1 1 2 28
Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors 0 0 0 56 2 5 6 60
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 0 1 19
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 1 2 8 105
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 0 2 908
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 1 3 376
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 3 3 5 277
The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks 0 0 0 66 1 2 5 82
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 2 2 3 85
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 1 2 333
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 1 1 1 38
The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components 0 0 0 2 1 2 4 11
Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence 0 1 3 26 1 5 15 44
Unveiling the monetary policy rule in euro area 0 0 0 91 0 0 0 235
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 0 0 3 788
Total Working Papers 1 4 21 1,135 36 80 197 15,567
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 4 81
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? 0 0 1 22 1 2 4 147
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 0 0 3 274
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 0 57
A fixed-T version of Breitung’s panel data unit root test 0 0 2 15 0 0 4 72
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 1 4 9 22
Can country-specific interest rate factors explain the forward premium anomaly? 1 1 1 10 3 3 6 47
Credit risk modelling under recessionary and financially distressed conditions 0 1 1 29 0 3 5 134
Dealing With Endogeneity in Threshold Models Using Copulas 0 3 5 21 3 8 10 48
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 2 2 2 2
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 4 7 11 632
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 1 73 2 5 16 232
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations 0 0 1 10 0 0 2 55
Forecasting economic activity from yield curve factors 1 1 1 34 2 5 6 113
Forecasting inflation from the term structure 0 0 0 86 0 1 1 223
Generalized fixed‐T panel unit root tests 0 0 0 4 1 1 2 13
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model 0 0 0 4 0 0 1 20
Improving variance forecasts: The role of Realized Variance features 0 1 3 6 1 2 5 15
Inference for unit roots in dynamic panels where the time dimension is fixed 3 3 8 548 10 16 41 1,570
Inflation and Exchange Rate Regimes in Mexico 0 0 0 127 1 1 2 480
Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals 0 1 3 9 0 3 9 27
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 1 1 5 43
Local power of panel unit root tests allowing for structural breaks 0 0 0 6 1 1 5 36
MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS 0 0 0 45 2 2 4 153
Missing Values in Panel Data Unit Root Tests 0 0 0 12 1 2 8 59
Modeling structural breaks in economic relationships using large shocks 1 1 2 69 1 3 6 225
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models 0 0 0 29 0 0 3 139
On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 0 0 0 6 5 5 6 43
On regression-based tests for persistence in logarithmic volatility models 0 0 0 14 0 1 5 64
Panel unit-root tests with structural breaks 0 1 2 7 1 5 17 33
Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece 0 0 4 120 2 3 11 275
Predicting default risk under asymmetric binary link functions 0 0 1 12 1 1 9 33
Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects 0 2 6 23 3 6 17 52
Pricing and hedging contingent claims using variance and higher order moment swaps 0 0 0 4 3 4 5 23
RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS 0 0 0 23 0 1 1 112
Real term structure forecasts of consumption growth 0 0 0 8 1 2 7 60
Recovering Risk Neutral Densities from Option Prices: A New Approach 0 0 0 70 1 1 2 138
Rejoinder to Comment by Doornik, Nielsen, and Rothenberg 0 0 0 35 1 2 2 382
Retrieving risk neutral moments and expected quadratic variation from option prices 0 0 1 10 0 4 17 66
Shifts in volatility driven by large stock market shocks 0 0 0 8 1 2 5 85
Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors 0 0 0 6 1 3 6 44
Structural Changes in Expected Stock Returns Relationships: Evidence from ASE 0 0 0 1 1 2 2 26
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects 0 0 1 22 2 2 5 74
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 3 5 7 199
Testing for unit roots in short panels allowing for a structural break 0 0 10 61 2 6 45 230
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 2 3 3 435
The forward premium anomaly and the currency carry trade hypothesis 0 1 10 14 3 4 22 33
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 2 2 7 39
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 1 2 3 82
The term premium and the puzzles of the expectations hypothesis of the term structure 0 0 0 40 0 1 2 125
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes 0 0 0 14 2 2 3 51
Total Journal Articles 6 16 65 2,078 75 147 390 8,233

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 1 3 3
What Drives the Default Risk of Restructured Loans 0 0 0 0 0 1 5 26
Total Chapters 0 0 0 0 0 2 8 29

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-12-06