16
H index
25
i10 index
1029
Citations
Zacharias Psaradakis : Citation Profile
Birkbeck College | RESEARCH PRODUCTION: 51 Articles 38 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1993 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Zacharias Psaradakis. | Is cited by:
| Cites to:
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Main data
Where Zacharias Psaradakis has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Department of Economics Working Papers / Universidad Torcuato Di Tella | 10 |
| Working and Discussion Papers / Research Department, National Bank of Slovakia | 4 |
Recent works citing Zacharias Psaradakis (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities. (2023). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Working Papers. RePEc:aoz:wpaper:234. Full description at Econpapers || Download paper |
| 2023 | Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463. Full description at Econpapers || Download paper |
| 2023 | A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247. Full description at Econpapers || Download paper |
| 2023 | Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186. Full description at Econpapers || Download paper |
| 2023 | On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence. (2023). Otranto, E ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202304. Full description at Econpapers || Download paper |
| 2023 | Spatial autoregressions with an extended parameter space and similarity-based weights. (2023). Lieberman, Offer ; Rossi, Francesca. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1770-1798. Full description at Econpapers || Download paper |
| 2023 | An improved FIGARCH model with the fractional differencing operator (1-?L)d. (2023). Du, Xiuli ; Li, Peng ; Pan, Qunxing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003471. Full description at Econpapers || Download paper |
| 2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper |
| 2023 | Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach. (2023). Shahbaz, Muhammad ; Napari, Ayuba ; Ul, Asad. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003124. Full description at Econpapers || Download paper |
| 2023 | Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market. (2023). Wang, Fang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:318-331. Full description at Econpapers || Download paper |
| 2023 | Markov-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. Full description at Econpapers || Download paper |
| 2023 | Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4. Full description at Econpapers || Download paper |
| 2023 | Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z. Full description at Econpapers || Download paper |
| 2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper |
| 2023 | A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x. Full description at Econpapers || Download paper |
| 2023 | An extended wavelet approach of the money–output link in the United States. (2023). Sokic, Alexandre ; Mutascu, Mihai. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02294-6. Full description at Econpapers || Download paper |
| 2023 | A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4. Full description at Econpapers || Download paper |
| 2023 | Variable selection in threshold model with a covariate-dependent threshold. (2023). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02340-3. Full description at Econpapers || Download paper |
| 2023 | Linear approximation of the Threshold AutoRegressive model: an application to order estimation. (2023). Vitale, Cosimo Damiano ; Niglio, Marcella ; Giordano, Francesco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:1:d:10.1007_s10260-022-00638-1. Full description at Econpapers || Download paper |
| 2023 | Bias-Correction in Time Series Quantile Regression Models. (2023). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1094. Full description at Econpapers || Download paper |
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities. (2023). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Department of Economics Working Papers. RePEc:udt:wpecon:2023_01. Full description at Econpapers || Download paper |
| 2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
| 2023 | Monetary policy, external instruments, and heteroskedasticity. (2023). Podstawski, Maximilian ; Rieth, Malte ; Schlaak, Thore. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:161-200. Full description at Econpapers || Download paper |
Works by Zacharias Psaradakis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | Maximum Likelihood Estimation in Markov Regime?Switching Models With Covariate?Dependent Transition Probabilities.(2022) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2010 | Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2011 | Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2007 | Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2009 | Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes In: BCAM Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes.(2019) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | A Distance Test of Normality for a Wide Class of Stationary Processes In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 1 |
| 2017 | A distance test of normality for a wide class of stationary processes.(2017) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Portmanteau Tests for Linearity of Stationary Time Series In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Portmanteau Tests for Linearity of Stationary Time Series.(2016) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Portmanteau tests for linearity of stationary time series.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Normality Tests for Dependent Data.(2017) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | Bootstrap-Assisted Tests of Symmetry for Dependent Data In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Bootstrap Assisted Tests of Symmetry for Dependent Data.(2018) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation In: Archive Discussion Papers. [Citation analysis] | paper | 8 |
| 1997 | Testing for unit roots in time series with nearly deterministic seasonal variation.(1997) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 1993 | PcGive and PcFiml Version 7 [Review Article]. In: Journal of Economic Surveys. [Citation analysis] | article | 0 |
| 2001 | Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
| 2003 | ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV?SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 89 |
| 2002 | On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
| 2004 | On the Autocorrelation Properties of Long?Memory GARCH Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 35 |
| 2002 | On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2006 | Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 46 |
| 2008 | Assessing Time?Reversibility Under Minimal Assumptions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 2009 | Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 14 |
| 2015 | A Quantile-based Test for Symmetry of Weakly Dependent Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 1993 | The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 9 |
| 1997 | A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 17 |
| 2013 | State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2006 | Instrumental-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] | article | 9 |
| 2011 | Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2000 | p-Value Adjustments for Multiple Tests for Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2002 | Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 19 |
| 1998 | An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 2001 | An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2003 | Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 73 |
| 2005 | Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | article | |
| 1995 | An Analysis of Seasonality in the U.K. Equity Market. In: Economic Journal. [Full Text][Citation analysis] | article | 22 |
| 2001 | Markov level shifts and the unit-root hypothesis In: Econometrics Journal. [Citation analysis] | article | 8 |
| 1997 | Switching error-correction models of house prices in the United Kingdom In: Economic Modelling. [Full Text][Citation analysis] | article | 45 |
| 2003 | Target zone credibility and economic fundamentals In: Economic Modelling. [Full Text][Citation analysis] | article | 14 |
| 2014 | On testing for nonlinearity in multivariate time series In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 1994 | A comparison of tests of linear hypotheses in cointegrated vector autoregressive models In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
| 2001 | On bootstrap inference in cointegrating regressions In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2001 | A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
| 2002 | A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters. [Full Text][Citation analysis] | article | 20 |
| 1996 | On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1993 | On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 1998 | Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2000 | Bootstrap tests for unit roots in seasonal autoregressive models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
| 2002 | On the asymptotic behaviour of unit-root tests in the presence of a Markov trend In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
| 2003 | A sieve bootstrap test for stationarity In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 5 |
| 2006 | Blockwise bootstrap testing for stationarity In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
| 1995 | Regression-Based Tests for Persistence in Conditional Variances. In: Discussion Papers. [Citation analysis] | paper | 2 |
| 1998 | Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2000 | Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 6 |
| 1997 | Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 47 |
| 1999 | Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 152 |
| 2003 | On detrending and cyclical asymmetry In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2002 | On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2004 | On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 102 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 26 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2005 | Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2001 | A simple method for testing cointegration subject to regime changes In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2007 | Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2007 | Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | On inference based on the one-sample sign statistic for long-range dependent data In: Computational Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | On Using Triples to Assess Symmetry Under Weak Dependence In: Working and Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Bootstrap-based evaluation of markov-switching time series models In: Econometric Reviews. [Full Text][Citation analysis] | article | 9 |
| 1999 | On regression-based tests for persistence in logarithmic volatility models In: Econometric Reviews. [Full Text][Citation analysis] | article | 10 |
| 2016 | Semiparametric Sieve-Type Generalized Least Squares Inference In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2016 | Using the Bootstrap to Test for Symmetry Under Unknown Dependence In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
| 2010 | Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Rational Bubbles: Too Many to be True? In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | On Testing for Bubbles During Hyperinflations In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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