Zacharias Psaradakis : Citation Profile

Are you Zacharias Psaradakis?

Birkbeck College

16

H index

24

i10 index

1002

Citations

RESEARCH PRODUCTION:

51

Articles

38

Papers

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 34
   Journals where Zacharias Psaradakis has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 33 (3.19 %)

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   Permalink: http://citec.repec.org/pps8
   Updated: 2023-03-25    RAS profile: 2022-10-01    
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Relations with other researchers

Works with:

Sola, Martin (7)

Vavra, Marian (7)

Morita, Rubens (3)

Aksoy, Yunus (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Zacharias Psaradakis.

Is cited by:

Balcilar, Mehmet (37)

GUPTA, RANGAN (28)

Shi, Shuping (23)

Gabriel, Vasco (23)

Sola, Martin (19)

Phillips, Peter (17)

Miller, Stephen (16)

Spagnolo, Fabio (15)

Frömmel, Michael (15)

Yu, Jun (14)

Lütkepohl, Helmut (12)

Cites to:

Sola, Martin (58)

Andrews, Donald (29)

Hansen, Bruce (29)

Spagnolo, Fabio (25)

Hamilton, James (21)

Hall, Stephen (14)

Leybourne, Stephen (12)

Driffill, Edward (11)

Phillips, Peter (11)

Gregory, Allan (10)

Nelson, Charles (9)

Main data

Where Zacharias Psaradakis has published?

Journals with more than one article published# docs
Journal of Time Series Analysis7
Journal of Applied Econometrics6
Econometric Reviews5
Economics Letters5
Statistics & Probability Letters4
Studies in Nonlinear Dynamics & Econometrics4
Oxford Bulletin of Economics and Statistics3
Journal of Econometrics3
International Journal of Finance & Economics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Department of Economics Working Papers / Universidad Torcuato Di Tella10
Working and Discussion Papers / Research Department, National Bank of Slovakia4

Recent works citing Zacharias Psaradakis (2022 and 2021)

YearTitle of citing document
2021Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2022Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130.

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2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

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2021Green bonds, sustainable development and environmental policy in the European Union carbon market. (2021). Leitão, João ; Santibanezgonzalez, Ernesto ; Ferreira, Joaquim ; Leitao, Joao . In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:2077-2090.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2021Threshold model with a time?varying threshold based on Fourier approximation. (2021). Chen, Ipo ; Lee, Chingnun ; Yang, Lixiong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:406-430.

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2021Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491.

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2022On cointegration for processes integrated at different frequencies. (2022). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:412-435.

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2022Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1.

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2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach. (2021). Santi, Caterina ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000361.

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2021Assessing India’s productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:182-195.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2021Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002863.

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2021Research on imbalance between supply and demand in Chinas natural gas market under the double-track price system. (2021). Wang, Yabo ; Zhang, Xuejun ; Lu, Quanying ; Chai, Jian. In: Energy Policy. RePEc:eee:enepol:v:155:y:2021:i:c:s0301421521002500.

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2022Stock market bubbles and anti-bubbles. (2022). Henriksson, Roy ; Sakoulis, Georgios ; Tarlie, Martin B. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521918302138.

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2022Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001259.

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2022How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241.

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2022Switching connectedness between real estate investment trusts, oil, and gold markets. (2022). Vo, Xuan Vinh ; Ugolini, Andrea ; Reboredo, Juan C ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003361.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2021The state-dependent trading behavior of banks in the oil futures market. (2021). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:1011-1024.

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2021Pass-through of commodity price to Mongolian stock price: Symmetric or asymmetric?. (2021). Kakinaka, Makoto ; Islam, Moinul ; Badamvaanchig, Mungunzul. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309843.

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2021How do energy productivity and water resources affect air pollution in Iran? New evidence from a Markov Switching perspective. (2021). Rafei, Meysam ; Ashouri, Mohammad Javad. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000039.

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2021Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle. (2021). Neto, David. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:179:y:2021:i:c:p:253-264.

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2021Information flow between bitcoin and other financial assets. (2021). Yang, Jae-Suk ; Jang, Kwahngsoo ; Park, Sang Jin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x.

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2021Government spending multipliers in (un)certain times. (2021). Rieth, Malte ; Klein, Mathias ; Fritsche, Jan Philipp. In: Journal of Public Economics. RePEc:eee:pubeco:v:203:y:2021:i:c:s0047272721001493.

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2022Detecting periodically collapsing bubbles in the S&P 500. (2022). Waters, George A ; Nguyen, Quynh Nhu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:83-91.

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2022Monetary and macroprudential policies, output, prices, and financial stability. (2022). Zhang, Chengping ; Li, Zhigang ; Liu, Biying ; Sui, Jianli. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:212-233.

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2021Asymptotic analysis of model selection criteria for general hidden Markov models. (2021). Singh, Sumeetpal S ; Beskos, Alexandros ; Yonekura, Shouto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:164-191.

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2022A time-varying threshold STAR model of unemployment and the natural rate. (2010). Sola, Martin ; Owyang, Michael ; Dueker, Michael J.. In: Working Papers. RePEc:fip:fedlwp:2010-029.

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2021Assessing the Sustainable Development and Renewable Energy Sources Relationship in EU Countries. (2021). Ionescu, George H ; Firoiu, Daniela ; Wodarczyk, Bogdan ; Markowski, Lesaw ; Szturo, Marek ; Ghiocel, Florin. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:8:p:2323-:d:539714.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2022.

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2021EU Labor Market Inequalities and Sustainable Development Goals. (2021). Axinte, Gheorghe ; Pirvu, Ramona ; Jianu, Elena ; Murtaza, Flavia ; Cojocaru, Andrei Valentin ; Toma, Ovidiu. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2675-:d:509105.

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2021Assessing Indias productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2021-004.

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2022Exchange rate pass-through in India. (2022). Parab, Prashant. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2022-012.

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2022A Bootstrap Method to Test Granger-Causality in the Frequency Domain. (2022). Montanari, Angela ; Farne, Matteo. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10112-x.

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2022Symmetric and asymmetric nexus between economic freedom and stock market development in Pakistan. (2022). Islam, Kashif ; Haider, Syed Anees ; Bilal, Ahmad Raza. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:4:d:10.1007_s10644-022-09385-5.

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2021Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: MPRA Paper. RePEc:pra:mprapa:107691.

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2021Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures. (2021). Ullah, Irfan ; Bashir, Uzma ; Ahmed, Mumtaz. In: MPRA Paper. RePEc:pra:mprapa:109607.

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2022An Automatic Portmanteau Test For Nonlinear Dependence. (2022). Grivas, Charisios. In: MPRA Paper. RePEc:pra:mprapa:114312.

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2021An Efficient Long-Run Economic Growth Strategy for Estonia. (2021). Jenkins, Glenn ; Sokhanvar, Amin. In: Development Discussion Papers. RePEc:qed:dpaper:4575.

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2022In Search of Common Currency Anchor for ASEAN+3+3 Countries. (2022). Anwar, Aftab ; Ahmad, Shabbir ; Zafar, Tasneem ; Ur, Jamshaid. In: Journal of Policy Research (JPR). RePEc:rfh:jprjor:v:8:y:2022:i:3:p:237-264.

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2021Structural breaks in cointegration models. (2021). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0429.

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2021Impact of Exchange Rate Changes on the Trade Balance of India: An Asymmetric Nonlinear Cointegration Approach. (2021). Bhat, Javed Ahmad. In: Foreign Trade Review. RePEc:sae:fortra:v:56:y:2021:i:1:p:71-88.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2022Speculative bubbles and herding in cryptocurrencies. (2022). Yagli, Ibrahim ; Haykir, Ozkan. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00383-0.

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2021Can country-specific interest rate factors explain the forward premium anomaly?. (2021). Tzavalis, Elias ; Smyrnakis, Dimitris ; Argyropoulos, Efthymios. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09509-5.

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2022On the stationarity of futures hedge ratios. (2022). Degiannakis, Stavros ; Salvador, Enrique ; Floros, Christos ; Vougas, Dimitrios. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-020-00607-0.

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2021An empirical study on the parsimony and descriptive power of TARMA models. (2021). Goracci, Greta. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00516-8.

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2022Learning Markov Processes with Latent Variables From Longitudinal Data. (2022). Higgins, Ayden ; Jochmans, Koen. In: TSE Working Papers. RePEc:tse:wpaper:127401.

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2021Renegotiation and Discrimination in Symmetric Procurement Auctions. (2021). Weinschelbaum, Federico ; Arozamena, Leandro ; Ganuza, Juan-Jose. In: Department of Economics Working Papers. RePEc:udt:wpecon:2021_09.

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2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

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2022The Narrow and Expanded Money Supply and Its Impact on Interest Rate and Product of the Private Sector in Jordan during the Period (1990–2019). (2022). Mayuf, Al-Habashneh Fedel. In: Foundations of Management. RePEc:vrs:founma:v:14:y:2022:i:1:p:143-154:n:3.

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2022Bubble tests in the London housing market: A borough level analysis. (2022). Alexakis, Panayotis ; Dotsis, George ; Petris, Panagiotis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1044-1063.

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2022Forecasting variance swap payoffs. (2022). van der Heijden, Thijs ; Nardari, Federico ; Dark, Jonathan ; Gao, Xin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2135-2164.

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2022Shadow economy threshold effect in the relationship finance–growth in Tunisia: A nonlinear autoregressive distributed lag approach. (2022). Terzi, Chokri ; Mhadhbi, Khalil. In: Journal of International Development. RePEc:wly:jintdv:v:34:y:2022:i:3:p:636-651.

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2022The Demand for Assets: Evidence from the Markov Switching Normalized Quadratic Model. (2022). Serletis, Apostolos ; Xu, Libo. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:4:p:989-1025.

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2022European Sovereign Bond and Stock Market Granger Causality Dynamics. (2022). Morita, Rubens ; Kurter, Zeynep O ; Gomes, Pedro. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1405.

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Works by Zacharias Psaradakis:

YearTitleTypeCited
2021Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities In: Papers.
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2021Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities.(2021) In: Department of Economics Working Papers.
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2022Maximum Likelihood Estimation in Markov Regime?Switching Models With Covariate?Dependent Transition Probabilities.(2022) In: Econometrica.
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This paper has another version. Agregated cites: 3		article
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes In: BCAM Working Papers.
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2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes.(2019) In: CESifo Working Paper Series.
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2015A Distance Test of Normality for a Wide Class of Stationary Processes In: Birkbeck Working Papers in Economics and Finance.
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2017A distance test of normality for a wide class of stationary processes.(2017) In: Econometrics and Statistics.
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2015Portmanteau Tests for Linearity of Stationary Time Series In: Birkbeck Working Papers in Economics and Finance.
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2016Portmanteau Tests for Linearity of Stationary Time Series.(2016) In: Working and Discussion Papers.
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2019Portmanteau tests for linearity of stationary time series.(2019) In: Econometric Reviews.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
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2017Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches In: Birkbeck Working Papers in Economics and Finance.
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2017Normality Tests for Dependent Data.(2017) In: Working and Discussion Papers.
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2018Bootstrap-Assisted Tests of Symmetry for Dependent Data In: Birkbeck Working Papers in Economics and Finance.
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2018Bootstrap Assisted Tests of Symmetry for Dependent Data.(2018) In: Working and Discussion Papers.
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1996Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation In: Archive Discussion Papers.
[Citation analysis]		paper8
1997Testing for unit roots in time series with nearly deterministic seasonal variation.(1997) In: Econometric Reviews.
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1993 PcGive and PcFiml Version 7 [Review Article]. In: Journal of Economic Surveys.
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2001Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors In: Journal of Time Series Analysis.
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2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV?SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article88
2002On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002.
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2004On the Autocorrelation Properties of Long?Memory GARCH Processes In: Journal of Time Series Analysis.
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2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
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2006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis.
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2008Assessing Time?Reversibility Under Minimal Assumptions In: Journal of Time Series Analysis.
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2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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2015A Quantile-based Test for Symmetry of Weakly Dependent Processes In: Journal of Time Series Analysis.
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1993The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article9
1997A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article17
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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2006Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article9
2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
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2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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2000p-Value Adjustments for Multiple Tests for Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
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2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article19
1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
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2001An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance.
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2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
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2005Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics.
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1995An Analysis of Seasonality in the U.K. Equity Market. In: Economic Journal.
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2001Markov level shifts and the unit-root hypothesis In: Econometrics Journal.
[Citation analysis]		article8
1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
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2003Target zone credibility and economic fundamentals In: Economic Modelling.
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2014On testing for nonlinearity in multivariate time series In: Economics Letters.
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1994A comparison of tests of linear hypotheses in cointegrated vector autoregressive models In: Economics Letters.
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2001On bootstrap inference in cointegrating regressions In: Economics Letters.
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2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
[Full Text][Citation analysis]		article16
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