Elias Tzavalis : Citation Profile

Are you Elias Tzavalis?

Athens University of Economics and Business (AUEB)

13

H index

17

i10 index

1273

Citations

RESEARCH PRODUCTION:

52

Articles

57

Papers

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 43
   Journals where Elias Tzavalis has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 49 (3.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptz13
   Updated: 2024-01-16    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Karavias, Yiannis (6)

Christopoulos, Dimitris (3)

McAdam, Peter (3)

Smyrnakis, Dimitris (2)

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

Is cited by:

Kapetanios, George (27)

Asongu, Simplice (23)

Pesaran, Mohammad (20)

Karavias, Yiannis (17)

Sarafidis, Vasilis (17)

Giannetti, Caterina (13)

Baharumshah, Ahmad Zubaidi (13)

Tsionas, Mike (13)

Chan, Felix (11)

Bande, Roberto (11)

Pauwels, Laurent (11)

Cites to:

Perron, Pierre (47)

Campbell, John (40)

Andrews, Donald (33)

Bai, Jushan (28)

Phillips, Peter (28)

Kapetanios, George (27)

Kruiniger, Hugo (24)

Pesaran, Mohammad (23)

Moon, Hyungsik (21)

Shiller, Robert (21)

Vogelsang, Timothy (20)

Main data

Where Elias Tzavalis has published?

Journals with more than one article published# docs
Econometric Reviews4
Journal of Empirical Finance4
Economic Modelling3
Economics Letters3
Econometrica2
Computational Statistics & Data Analysis2
Review of Quantitative Finance and Accounting2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Discussion Papers / University of Exeter, Department of Economics12
MPRA Paper / University Library of Munich, Germany3
Discussion Papers / Department of Economics, University of Birmingham2
Working Papers / Bank of Greece2
Working Papers / Athens University Of Economics and Business, Department of Economics2
Working Paper Series / European Central Bank2

Recent works citing Elias Tzavalis (2024 and 2023)

YearTitle of citing document
2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Minimum wage and manufacturing labor share: Evidence from North Macedonia. (2023). Petreski, Marjan ; Pehkonen, Jaakko. In: Papers. RePEc:arx:papers:2310.05117.

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2023.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Risk communication clarity and insurance demand: The case of the COVID-19 pandemic. (2023). Zou, Hong ; Xu, Xian ; Feng, Jingbing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002652.

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2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

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2023Trade openness and connectedness of national productions: Do financial openness, economic specialization, and the size of the country matter?. (2023). Toure, Adam ; Mao Takongmo, Charles-O., . In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001529.

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2023Estimation of panel group structure models with structural breaks in group memberships and coefficients. (2023). Okui, Ryo ; Wang, Wendun ; Lumsdaine, Robin L. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:45-65.

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2023Uniform inference in linear panel data models with two-dimensional heterogeneity. (2023). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:694-719.

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2023Time-varying Z-score measures for bank insolvency risk: Best practice. (2023). Bouvatier, Vincent ; Strobel, Frank ; Rehault, Pierre-Nicolas ; Lepetit, Laetitia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:170-179.

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2023Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis. (2023). Yin, Zhujia ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000099.

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2023Nexus between digital transformation and energy technology innovation: An empirical test of A-share listed enterprises. (2023). SHEN, Zhiyang ; Zhang, Linda ; Song, Malin ; Du, Juntao. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000701.

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2023What derives renewable energy transition in G-7 and E-7 countries? The role of financial development and mineral markets. (2023). Hao, YU ; Razzaq, Asif ; Rehman, Mubeen Abdur ; Irfan, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001597.

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2023.

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2023Crisis sentiment and banks’ stock price crash risk: A missing piece of the puzzle?. (2023). Anastasiou, Dimitris ; Krokida, Styliani Iris ; Katsafados, Apostolos ; Tzomakas, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000744.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Financial reforms and innovation: A micro–macro perspective. (2023). McAdam, Peter ; Bournakis, Ioannis ; Christopoulos, Dimitris ; Boikos, Spyridon. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000219.

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2023The scope and methodology of economic and financial asymmetries. (2023). Stengos, Thanasis ; Malliaris, Anastasios ; Alogoskoufis, George. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000099.

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2023Comparative evaluation of CO2 emissions from transportation in countries around the world. (2023). Zhu, Lichao. In: Journal of Transport Geography. RePEc:eee:jotrge:v:110:y:2023:i:c:s0966692323000819.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023The key roles of renewable energy and economic growth in disaggregated environmental degradation: Evidence from highly developed, heterogeneous and cross-correlated countries. (2023). Arauzo-Carod, Josep-Maria ; Kostakis, Ioannis. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1315-1325.

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2023Do rising labour costs promote technology upgrading? A novel theoretical hypothesis of an inverted U-shaped relationship. (2023). Wu, Yongqiu ; Li, Zhilong ; Wang, Jiang ; Xu, Jingwei ; Chen, Feng-Wen. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:327-341.

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2023Labor Productivity, Real Wages, and Employment in OECD Economies. (2023). Cruz, Manuel David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:367-382.

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2023What motivates Chinese multinational firms to invest in Asia? Poor institutions versus rich infrastructures of a host country. (2023). Gangopadhyay, Partha ; Chen, Kairan ; Singh, Baljeet. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000082.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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2023Time-stability of risk preferences: A new approach with evidence from developed and developing countries. (2023). Salamanca, Nicolas ; Vecci, Joe ; Ip, Edwin ; Cardak, Buly A. In: Discussion Papers. RePEc:exe:wpaper:2305.

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2023Investigating the Inflation–Output Nexus for the Euro Area: Old Questions and New Results. (2023). Gerdesmeier, Dieter ; Reimers, Hans-Eggert ; Roffia, Barbara. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:11:p:265-:d:1266356.

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2023Investigating the Influence of Tourism, GDP, Renewable Energy, and Electricity Consumption on Carbon Emissions in Low-Income Countries. (2023). Majumder, Shapan Chandra ; Islam, Md Jamsedul ; Voumik, Liton Chandra ; Dechun, Huang ; Arnaud, Anobua Acha. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4608-:d:1167528.

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2023Natural Gas Prices in the Framework of European Union’s Energy Transition: Assessing Evolution and Drivers. (2023). Soares, Isabel ; Soutinho, Gustavo ; Ribeiro, Vitor Miguel. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:2029-:d:1072817.

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2023Convergence of Energy Intensity of the Export of Goods by Rail Transport: Linkages with the Spatial Integration and Economic Condition of Countries. (2023). Dbrosz-Drewnowska, Paulina ; Drewnowski, Arkadiusz ; Zaoga, Elbieta ; Szaruga, Elbieta. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:9:p:3823-:d:1136683.

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2023.

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2023Do IFRS Disclosure Requirements Reduce the Cost of Equity Capital? Evidence from European Firms. (2023). Ertz, Myriam ; Helali, Kamel ; Kalai, Maha ; Becha, Hamdi ; Ghouma, Ghouma. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:374-:d:1217736.

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2023Is Entrepreneurship the Key to Achieving Environmental Sustainability? A Data-Driven Analysis from the Asia-Pacific Region. (2023). Nguyen, Canh ; Bui, Manh-Tien ; Le, Thai-Ha. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:19:p:14523-:d:1254497.

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2023The Impact of Aging on Housing Market: Evidence from China. (2023). Liu, Tao ; Deng, Dong ; Fu, Rong. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4161-:d:1080084.

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2023Can Business and Leisure Tourism Spending Lead to Lower Environmental Degradation Levels? Research on the Eurozone Economic Space. (2023). HALKOS, GEORGE ; Ekonomou, George. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:6063-:d:1112875.

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2023INTERLINKA TERLINKAGE OF M GE OF MACROECONOMIC UNCER CROECONOMIC UNCERTAINTY AND MACROECONOMIC PERFORMANCE: EVIDENCE FROM ASEAN-5 COUNTRIES PANEL VAR. (2023). Afin, Rifai. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:26:y:2023:i:1b:p:39-68.

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2023Economic growth or social expenditure: what is more effective in decreasing poverty and income inequality in the EU - a panel VAR approach. (2023). Trenovski, Borce ; Velkovska, Ivana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:1:p:111-142.

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2023FUNCTIONAL INCOME DISTRIBUTION AND SECULAR STAGNATION IN EUROPE: AN ANALYSIS OF THE POST-KEYNESIAN GROWTH DRIVERS. (2023). Barradas, Ricardo ; Alcobia, Joo. In: Working Papers REM. RePEc:ise:remwps:wp02832023.

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2023Disrupted Lending Relationship and Borrowers Strategic Default. (2023). Malliaropulos, Dimitris ; Asimakopoulos, Ioannis ; Avramidis, Panagiotis. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:1:d:10.1007_s10693-021-00368-7.

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2023The empirical measurement and determinants of intra-industry trade for a developing country. (2023). Aggarwal, Sakshi. In: MPRA Paper. RePEc:pra:mprapa:117112.

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2023Finance and growth: Nonlinearity and structural shifts. (2023). Yurevich, Maksim ; Krinichansky, Konstantin. In: Applied Econometrics. RePEc:ris:apltrx:0482.

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2023Effect of Structural Break on Financial Development and Economic Growth Nexus in Middle-Income Countries in Asia: Moderating Role of Technological Advancements. (2023). Othman, Norashida ; Pyeman, Jaafar ; Hewag, Rishan Sampath. In: Information Management and Business Review. RePEc:rnd:arimbr:v:15:y:2023:i:2:p:205-214.

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2023Does Difference in Environmental Standard Influence India’s Bilateral IIT Flows? Evidence from GMM Results. (2023). Banik, Nilanjan ; Chakraborty, Debashis ; Aggarwal, Sakshi. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:22:y:2023:i:1:p:7-30.

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2023The Efficacy of Fiscal Vs Monetary Policies in the Asia-Pacific Region: The St. Louis Equation Revisited. (2023). Gopalakrishnan, Badri Narayanan ; Dwivedi, Dwijendra Nath ; Mahanty, Ghanashyama. In: Vision. RePEc:sae:vision:v:27:y:2023:i:2:p:256-263.

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2023‘Investing’ in care for old age? An examination of long-term care expenditure dynamics and its spillovers. (2023). Costa-Font, Joan ; Vilaplana-Prieto, Cristina. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02246-0.

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2023Real interest rate parity in the Pacific Rim countries: new empirical evidence. (2023). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02282-w.

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2023Assessing the consistency of the fixed-effects estimator: a regression-based Wald test. (2023). Spierdijk, Laura. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02298-2.

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2023Likelihood-based inference for dynamic panel data models. (2023). Thomas, Gareth M ; Ahn, Seung C. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02375-0.

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2023Estimating the effect of technological innovations on environmental degradation: empirical evidence from selected ASEAN and SAARC countries. (2023). Anjum, Sohail ; Qayyum, Unbreen ; Sabir, Samina ; Kiani, Taimoor Arif. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:7:d:10.1007_s10668-022-02315-5.

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2023The dynamic association between public environmental demands, government environmental governance, and green technology innovation in China: evidence from panel VAR model. (2023). Abid, Nabila ; Draz, Muhammad Umar ; Ahmad, Fayyaz ; Deng, Jinqian ; Zhang, NA. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:9:d:10.1007_s10668-022-02463-8.

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The effect of military spending on economic growth in MENA: evidence from method of moments quantile regression. (2023). Aminu, Alarudeen ; Raifu, Isiaka Akande. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00181-9.

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2023The impact of digital financial inclusion on household carbon emissions: evidence from China. (2023). Li, Zhangwen ; Zhang, Caijiang ; Zhou, YU. In: Journal of Economic Structures. RePEc:spr:jecstr:v:12:y:2023:i:1:d:10.1186_s40008-023-00296-w.

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2023The Banking Sector, the Engine of Inclusive Growth in WAEMU Countries: Decoy or Glimmer?. (2023). Kouton, Jeffrey ; Fe, Doukoure Charles. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:1:d:10.1007_s13132-022-00893-3.

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2023Modelling Simultaneous Relationships Between Human Development, Energy, and Environment: Fresh Evidence from Panel Quantile Regression. (2023). Kocoglu, Mustafa ; Banday, Umer Jeelanie. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00921-2.

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2023Institutional governance and quality of life: evidence from developing countries. (2023). M. M. K. Toufique, ; Kibria, Md Golam. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00458-9.

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2023.

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2023Structural and predictive analyses with a mixed copula?based vector autoregression model. (2023). Maneejuk, Paravee ; Thongkairat, Sukrit ; Gupta, Rangan ; Yamaka, Woraphon. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:223-239.

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2023Does international trade promote economic growth? Europe, 19th and 20th centuries. (2023). Bajo-Rubio, Oscar ; del Carmen, Maria. In: GLO Discussion Paper Series. RePEc:zbw:glodps:1358.

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2023.

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Elias Tzavalis has edited the books:

YearTitleTypeCited

Works by Elias Tzavalis:

YearTitleTypeCited
2013Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates In: Working Papers.
[Full Text][Citation analysis]		paper0
2013The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals In: Discussion Papers.
[Full Text][Citation analysis]		paper1
2021Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals.(2021) In: Review of Quantitative Finance and Accounting.
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This paper has nother version. Agregated cites: 1		article
2021Panel Unit Root Tests with Structural Breaks In: Discussion Papers.
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.() In: .
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2022Panel unit-root tests with structural breaks.(2022) In: Stata Journal.
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2015Unveiling the ECBs Monetary Policy Behaviour Under Different Inflation Regimes In: Economica.
[Full Text][Citation analysis]		article0
2006Structural Changes in Expected Stock Returns Relationships: Evidence from ASE In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article3
2010RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS In: Journal of Financial Research.
[Full Text][Citation analysis]		article7
2016Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article10
2011MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS In: Manchester School.
[Full Text][Citation analysis]		article4
2000Inflation and Exchange Rate Regimes in Mexico In: Review of Development Economics.
[Full Text][Citation analysis]		article5
1998Inflation and Exchange Rate Regimes in Mexico.(1998) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2019Generalized fixed?T panel unit root tests In: Scandinavian Journal of Statistics.
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2011Unveiling the monetary policy rule in euro area In: Working Papers.
[Full Text][Citation analysis]		paper2
2017On the determinants of NPLS: lessons from Greece In: Working Papers.
[Full Text][Citation analysis]		paper8
2017Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2014Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors.(2014) In: Discussion Papers.
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2015Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects In: Studies in Nonlinear Dynamics & Econometrics.
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2002Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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2002Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms.(2002) In: Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2008Recovering Risk Neutral Densities from Option Prices: A New Approach In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article18
2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier In: Working Paper Series.
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2019Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach In: Working Paper Series.
[Full Text][Citation analysis]		paper4
1999The Influence of VAR Dimensions on Estimator Biases In: Econometrica.
[Citation analysis]		article46
1996The Influence of VAR Dimensions on Estimator Biases.(1996) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2003Rejoinder to Comment by Doornik, Nielsen, and Rothenberg In: Econometrica.
[Citation analysis]		article0
2012Detection of structural breaks in linear dynamic panel data models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article42
2004Detection of Structural Breaks in Linear Dynamic Panel Data Models.(2004) In: Working Papers.
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2014Testing for unit roots in short panels allowing for a structural break In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article19
2010Modeling structural breaks in economic relationships using large shocks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article33
2015Shifts in volatility driven by large stock market shocks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
1998Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece In: Economic Modelling.
[Full Text][Citation analysis]		article15
1996Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece..(1996) In: Discussion Papers.
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2001Fiscal policy and politics: theory and evidence from Greece 1960-1997 In: Economic Modelling.
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2004The term premium and the puzzles of the expectations hypothesis of the term structure In: Economic Modelling.
[Full Text][Citation analysis]		article8
2016Forecasting economic activity from yield curve factors In: The North American Journal of Economics and Finance.
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2014A fixed-T version of Breitung’s panel data unit root test In: Economics Letters.
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1995The persistence in volatility of the US term premium 1970-1986 In: Economics Letters.
[Full Text][Citation analysis]		article14
1994The Persistence in Volatility of the US Term Premium 1970-1986..(1994) In: Discussion Papers.
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2005Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models In: Economics Letters.
[Full Text][Citation analysis]		article4
1999Inference for unit roots in dynamic panels where the time dimension is fixed In: Journal of Econometrics.
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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks In: Econometrics and Statistics.
[Full Text][Citation analysis]		article3
2014Are regime-shift sources of risk priced in the market? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
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1994The Asymptotic Influence of VAR Dimension on Estimator Biases. In: Discussion Papers.
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1997Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends In: Discussion Papers.
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1997Which 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? In: Discussion Papers.
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2017Retrieving risk neutral moments and expected quadratic variation from option prices In: Review of Quantitative Finance and Accounting.
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2013The power performance of fixed-T panel unit root tests allowing for structural breaks In: Discussion Papers.
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2013The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks.(2013) In: MPRA Paper.
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2014A fixed-T version of Breitungs panel data unit root test and its asymptotic local power In: Discussion Papers.
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2014Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite In: Discussion Papers.
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2012Generalized ?Fixed-T Panel Unit Root Tests Allowing for Structural Breaks In: MPRA Paper.
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2003Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary In: Working Papers.
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2004Is the Currency Risk Priced in Equity Markets? In: Working Papers.
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2004A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models In: Working Papers.
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2005Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset In: Working Papers.
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2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension In: Working Papers.
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2006Stochastic Volatility Driven by Large Shocks In: Working Papers.
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2002Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms In: Working Papers.
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2003Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary In: Working Papers.
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2004Detection of Structural Breaks in Linear Dynamic Panel Data Models In: Working Papers.
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2004Is the Currency Risk Priced in Equity Markets? In: Working Papers.
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2004A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models In: Working Papers.
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2004The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks In: Working Papers.
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2005Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset In: Working Papers.
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2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension In: Working Papers.
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2004Testing 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 In: Econometric Reviews.
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2012A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? In: Journal of Applied Statistics.
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2017Pricing and hedging contingent claims using variance and higher order moment swaps In: Quantitative Finance.
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2014Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations In: Journal of Forecasting.
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