Elias Tzavalis : Citation Profile


Are you Elias Tzavalis?

Athens University of Economics and Business (AUEB)

11

H index

11

i10 index

753

Citations

RESEARCH PRODUCTION:

45

Articles

53

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 30
   Journals where Elias Tzavalis has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 39 (4.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ptz13
   Updated: 2020-05-16    RAS profile: 2020-02-20    
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Relations with other researchers


Works with:

Karavias, Yiannis (9)

McAdam, Peter (2)

Rompolis, Leonidas (2)

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

Is cited by:

Baharumshah, Ahmad Zubaidi (13)

Pesaran, M (13)

Bande, Roberto (11)

Karanassou, Marika (10)

Lau, Evan (10)

Apergis, Nicholas (9)

Christopoulos, Dimitris (9)

Kool, Clemens (9)

Tsionas, Mike (8)

Westerlund, Joakim (8)

Wickens, Michael (8)

Cites to:

Perron, Pierre (35)

Campbell, John (25)

Andrews, Donald (25)

Phillips, Peter (23)

Bai, Jushan (22)

Moon, Hyungsik (21)

Perron, Benoit (18)

Pesaran, M (17)

Kruiniger, Hugo (15)

Shiller, Robert (14)

Carrion-i-Silvestre, Josep (14)

Main data


Where Elias Tzavalis has published?


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

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
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 (2019 and 2018)


YearTitle of citing document
2019The Mobile Phone, Information Sharing and Financial Sector Development in Africa: A Quantile Regressions Approach. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/016.

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2018Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2019Adaptive Dynamic Model Averaging with an Application to House Price Forecasting. (2019). Pavlidis, Efthymios ; Yusupova, Alisa . In: Papers. RePEc:arx:papers:1912.04661.

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2019Capital Structure and Financial Efficiency: Evidence from Ho Chi Minh Stock Exchange of Vietnam. (2019). Cuc, Thi Thu ; Hoang, Van Hoa ; Tran, Manh Dung. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1255-1265.

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2019Revisiting Oil Prices, Producer Price Index (PPI), and the Purchasing Managers Index (PMI) Nexus: China and the USA. (2019). Chang, Tsangyao ; Wang, Mei-Chih. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:913-925.

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2019¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?. (2019). Rincon-Castro, Hernan ; Ardila-Dueas, Carlos David. In: Borradores de Economia. RePEc:bdr:borrec:1077.

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2018Has International Aid Promoted Economic Growth in Africa?. (2018). Cai, Jinyang ; Shao, Qianqian ; Pray, Carl E ; Hu, Ruifa ; Zheng, Zuting. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:3:p:239-251.

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2018Economic Reform and Corruption: Evidence from Panel Data. (2018). Kamal, Mustafa ; Rana, Ebney Ayaj. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:1:p:92-106.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

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2018Estimating a Bilateral J‐curve between the UK and the Euro Area. (2018). Michail, Nektarios A. In: Manchester School. RePEc:bla:manchs:v:86:y:2018:i:6:p:757-769.

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2019Non-performing loans in the euro area: does market power matter?. (2019). Louri, Helen ; Karadima, Maria. In: Working Papers. RePEc:bog:wpaper:271.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2018The Effect of Exchange Rates on Chinese Trade: A Dual Margin Approach. (2018). Reed, W. ; Das, Kuntal ; Qiu, Bin. In: Working Papers in Economics. RePEc:cbt:econwp:18/14.

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2020Credit Rationing and Pass-Through in Supply Chains: Theory and Evidence from Bangladesh. (2020). Uddin, Helal ; Shilpi, Forhad ; Mookherjee, Dilip ; Emran, Shahe . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14272.

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2018The information content of M3 for future inflation. (2000). Vega, Juan ; Trecroci, Carmine. In: Working Paper Series. RePEc:ecb:ecbwps:20000033.

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2019Consumption response to minimum wages: evidence from Chinese households. (2019). Hau, Harald ; Dautovic, Ernest ; Huang, YI. In: Working Paper Series. RePEc:ecb:ecbwps:20192333.

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2018Linkages of Global Financial Crisis and Trade Direction in an Oil Based Economy. (2018). Al-Shammari, Nayef ; Al-Obaid, Shaha. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-31.

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2018Profit Persistence in Energy Industry: A Comparison Between Listed and Unlisted Companies. (2018). Iskenderoglu, Omer ; Haykir, Ozkan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-36.

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2020Relationship Between Oil Revenues and Education in Gulf Cooperation Council Countries. (2020). Gedikli, Ayfer ; Ar, Durmu ; Erdoan, Seyfettin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-29.

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2018News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

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2018Can private domestic investment lead Chinese technological progress?. (2018). Chen, Hong ; Singh, Baljeet ; Wang, XI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:186-193.

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2018The dynamics and determinants of Kuwaits long-run economic growth. (2018). Mohaddes, Kamiar ; Al-Musallam, Marwa ; Alawadhi, Ahmad ; Burney, Nadeem A. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:289-304.

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2018Modelling stock price–exchange rate nexus in OECD countries: A new perspective. (2018). Salisu, Afees ; Ndako, Umar. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:105-123.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

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2018Long run effect of public grants and tax credits on R&D investment: A non-stationary panel data approach. (2018). Álvarez, Inmaculada ; Romero-Jordan, Desiderio ; Kao, Chihwa ; Alvarez-Ayuso, Inmaculada C. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:93-104.

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2019Has the Feldstein-Horioka puzzle waned? Evidence from time series and dynamic panel data analysis. (2019). Dash, Santosh Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:256-269.

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2018On credit and output: Is the supply of credit relevant?. (2018). Wojnilower, Joshua . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:38-56.

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2019The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636.

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2019Term structure dynamics in a monetary economy with learning. (2019). Ono, Sadayuki . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:730-745.

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2018The Distributional and Multi-Sectoral Impacts of Rainfall Shocks: Evidence From Computable General Equilibrium Modelling for the Awash Basin, Ethiopia. (2018). Borgomeo, Edoardo ; Walker, Oliver ; Kebede, Seifu ; Charles, Katrina J ; Tamru, Seneshaw ; Alamirew, Tena ; Woldeyes, Firew B ; Vadheim, Bryan . In: Ecological Economics. RePEc:eee:ecolec:v:146:y:2018:i:c:p:621-632.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2017Capturing the impact of shocks on the electricity sector performance in the OECD. (2017). POLEMIS, MICHAEL. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:99-107.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2018Energy price, energy efficiency, and capital productivity: Empirical investigations and policy implications. (2018). Olani, Adugna ; Gamtessa, Samuel. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:650-666.

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2019Does energy price affect energy efficiency? Cross-country panel evidence. (2019). Fontini, Fulvio ; Antonietti, Roberto. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:896-906.

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2019Renewable and non-renewable electricity consumption, environmental degradation and economic development: Evidence from Mediterranean countries. (2019). Zrelli, Maha Harbaoui ; Belaid, Fateh. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519305166.

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2019United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD. (2019). Salisu, Afees. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:343-347.

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2018A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus. (2018). Salisu, Afees ; Swaray, Raymond. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:199-218.

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2019Does international reserve accumulation crowd out domestic private investment?. (2019). Mahraddika, Wishnu. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:39-50.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2020Financial development and innovation-led growth: Is too much finance better?. (2020). Kim, Jaebeom ; Asimakopoulos, Stylianos ; Zhu, Xiaoyang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560618307587.

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2017Do financial reforms help stabilize inequality?. (2017). McAdam, Peter ; Christopoulos, Dimitris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:45-61.

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2019The relationship between international trade and capital flow: A network perspective. (2019). Ding, Haoyuan ; Xie, Wenjing ; Liu, Ziyuan ; Jin, Yuying. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:1-11.

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2019Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

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2019The income elasticity of housing demand in New South Wales, Australia. (2019). Liu, Xiangling. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:75:y:2019:i:c:p:70-84.

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2019Competition or complementarity ? The hydropower and thermal power nexus in China. (2019). Zhang, Qian ; Zhuang, Shangwen ; Yan, Weilong ; Wang, Yongpei. In: Renewable Energy. RePEc:eee:renene:v:138:y:2019:i:c:p:531-541.

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2018What is better for mitigating carbon emissions – Renewable energy or nuclear energy? A panel data analysis. (2018). Jin, Taeyoung ; Kim, Jinsoo. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:91:y:2018:i:c:p:464-471.

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2019Learning to live within your (water) budget: Evidence from allocation-based rates. (2019). Baerenklau, Kenneth A ; Perez-Urdiales, Maria. In: Resource and Energy Economics. RePEc:eee:resene:v:57:y:2019:i:c:p:205-221.

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2019Determinants of sector of holders international equity holdings. (2019). Balli, Hatice ; Basher, Syed ; Wang, Aihua ; Karimova, Amira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:63:y:2019:i:c:p:329-338.

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2020Mortgage asymmetric pricing, cash rate and international funding cost: Australian evidence. (2020). Salisu, Afees ; Roca, Eduardo ; Liu, Benjamin ; Pham, Quynh Chau . In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:46-68.

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2019Economic freedom and asymmetric crisis effects on FDI inflows: The case of four South European economies. (2019). Economou, Fotini. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:114-126.

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2019Collaborative patents and the mobility of knowledge workers. (2019). Miguelez, Ernest. In: Technovation. RePEc:eee:techno:v:86-87:y:2019:i::p:62-74.

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2019Greece and the euro: a Mundellian tragedy. (2019). Alogoskoufis, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102645.

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2018A BAYESIAN INFERENCE OF MULTIPLE STRUCTURAL BREAKS IN MEAN AND ERROR VARIANCE IN PANEL AR (1) MODEL. (2018). Kumar, Jitendra ; Shangodoyin, Dahud Kehinde ; Agiwal, Varun. In: Statistics in Transition New Series. RePEc:exl:29stat:v:19:y:2018:i:1:p:7-23.

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2018Supply response of smallholder households in Ethiopia. (2018). Bachewe, Fantu Nisrane ; Taffesse, Alemayehu Seyoum. In: IFPRI book chapters. RePEc:fpr:ifpric:9780896292833_08.

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2019What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries?. (2019). Vo, Duc ; Nguyen, Thang ; Tran, Ngoc Phu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:40-:d:212308.

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2018Effect of Deposit Mobilization on the Financial Sustainability of Rural Saving and Credit Cooperatives: Evidence from Ethiopia. (2018). Duguma, Girma Jirata ; Han, Jiqin . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3387-:d:171390.

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2018Coal Consumption and Economic Growth: Panel Cointegration and Causality Evidence from OECD and Non-OECD Countries. (2018). Jin, Taeyoung ; Kim, Jinsoo. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:3:p:660-:d:134134.

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2018Sustainable Development of China’s Industrial Economy: An Empirical Study of the Period 2001–2011. (2018). Osei, Edward ; Yu, Mark ; Zhang, Jianhua ; Li, Huijun . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:3:p:764-:d:135699.

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2019The Impact of Financial Development on Carbon Emissions: A Global Perspective. (2019). Ma, Xiaoxin ; Jiang, Chun. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:19:p:5241-:d:270376.

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2019Sustainable Business Practices and Firm’s Financial Performance in Islamic Banking: Under the Moderating Role of Islamic Corporate Governance. (2019). , Mehreen ; Hassan, Rohail ; Marimuthu, Maran ; Jan, Amin. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:23:p:6606-:d:289955.

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2019Does the Level of Environmental Uncertainty Matter in the Effect of Returnee CEO on Innovation? Evidence from Panel Threshold Analysis. (2019). Chen, Xuemeng ; Ma, Guangqi ; Huang, Weili . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:9:p:2645-:d:229415.

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2020Impact of Environmental Regulations on Environmental Quality and Public Health in China: Empirical Analysis with Panel Data Approach. (2020). Jia, Pinrong ; Li, KE ; tang, liwei . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:623-:d:308849.

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2019Greece and the Euro: A Mundellian Tragedy. (2019). Alogoskoufis, George. In: GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe. RePEc:hel:greese:136.

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2019“Has the ECB’s Monetary Policy Prompted Companies to Invest or Pay Dividends?”. (2019). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Cohen, Lior ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:201901.

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2019“Re-examining the debt-growth nexus: A grouped fixed-effect approach”. (2019). Sosvilla-Rivero, Simon ; Martínez-Zarzoso, Inmaculada ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Martinez-Zarzoso, Inmaculada. In: IREA Working Papers. RePEc:ira:wpaper:201911.

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2018Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors. (2018). shin, yongcheol ; Omay, Tolga ; Hasanov, Mübariz. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:1:d:10.1007_s10614-017-9667-7.

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2019Weather, Climate and Total Factor Productivity. (2019). Tol, Richard ; Letta, Marco. In: Environmental & Resource Economics. RePEc:kap:enreec:v:73:y:2019:i:1:d:10.1007_s10640-018-0262-8.

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2019Health care expenditures and GDP in Latin American and OECD countries: a comparison using a panel cointegration approach. (2019). Valdes, Nieves M ; Rodriguez, Alejandro F. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:19:y:2019:i:2:d:10.1007_s10754-018-9250-3.

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2020Health expenditure and gross domestic product: causality analysis by income level. (2020). Gow, Jeff ; Alam, Khorshed ; Rana, Rezwanul Hasan. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:20:y:2020:i:1:d:10.1007_s10754-019-09270-1.

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2018Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition. (2018). Bischoff, Oliver ; Buchwald, Achim. In: Journal of Industry, Competition and Trade. RePEc:kap:jincot:v:18:y:2018:i:1:d:10.1007_s10842-017-0250-7.

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2017Implied volatility and skewness surface. (2017). Feunou, Bruno ; Tedongap, Romeo ; Fontaine, Jean-Sebastien. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2019Partially heterogeneous tests for Granger non-causality in panel data. (2019). Karavias, Yiannis ; Juodis, Arturas. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:59.

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2018Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework. (2018). Ahmad, Zamri ; Tuyon, Jasman. In: Capital Markets Review. RePEc:mfa:journl:v:26:y:2018:i:2:p:32-52.

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2020Credit Rationing and Pass-Through in Supply Chains: Theory and Evidence from Bangladesh. (2020). Shilpi, Forhad ; Mookherjee, Dilip ; Emran, M. Shahe ; Uddin, Helal M. In: NBER Working Papers. RePEc:nbr:nberwo:26615.

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2019Does international reserve accumulation crowd out domestic private investment?. (2019). Mahraddika, Wishnu. In: Departmental Working Papers. RePEc:pas:papers:2019-02.

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2018A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions.. (2018). Kruiniger, Hugo . In: MPRA Paper. RePEc:pra:mprapa:88623.

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2019The Mobile Phone, Information Sharing and Financial Sector Development in Africa: A Quantile Regressions Approach. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: MPRA Paper. RePEc:pra:mprapa:94011.

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2019Trade Liberalization Policies and Renewable Energy Transition in Low and Middle-Income Countries? An Instrumental Variable Approach. (2019). Murshed, Muntasir. In: MPRA Paper. RePEc:pra:mprapa:97075.

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2019How Forward-Looking Are Local Governments? Evidence from Indonesia. (2019). Cassidy, Traviss. In: MPRA Paper. RePEc:pra:mprapa:97776.

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2017Testing time series for the bubbles (with application to Russian data). (2017). Skrobotov, Anton ; Sinelnikova-Muryleva, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0319.

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2018Spatial convergence of real wages in Russian cities. (2018). Ivanova, Vera. In: The Annals of Regional Science. RePEc:spr:anresc:v:61:y:2018:i:1:d:10.1007_s00168-017-0855-0.

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2019Two-sided exponential–geometric distribution: inference and volatility modeling. (2019). Altun, Emrah. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:3:d:10.1007_s00180-019-00873-3.

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2018Rank based cointegration testing for dynamic panels with fixed T. (2018). Juodis, Artras. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1304-8.

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2019Applying panel vector autoregression to institutions, human capital, and output. (2019). O'Reilly, Colin ; Oreilly, Colin ; Murphy, Ryan H. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1562-0.

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2020Sick of family responsibilities?. (2020). Johansson, Per ; Lindahl, Erica ; Angelov, Nikolay. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1552-2.

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2018Firm-level investment in the extractive industry from CEE countries: the role of macroeconomic uncertainty and internal conditions. (2018). Albulescu, Claudiu ; Tmil, Matei ; Suciu, Simina Silvana ; Miclea, Erban. In: Eurasian Business Review. RePEc:spr:eurasi:v:8:y:2018:i:2:d:10.1007_s40821-017-0079-3.

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2018The effect of macroeconomic variables on the performance of non-life insurance companies in Bangladesh. (2018). , Abu ; Islam, Sm Nahidul ; Hasan, Md Bokhtiar. In: Indian Economic Review. RePEc:spr:inecre:v:53:y:2018:i:1:d:10.1007_s41775-019-00037-6.

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2019Unit Root Tests for Dependent Micropanels. (2019). Choi, In. In: The Japanese Economic Review. RePEc:spr:jecrev:v:70:y:2019:i:2:d:10.1111_jere.12170.

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2019Environmental Kuznets curve for local and global pollutants: application of GMM and random coefficient panel data models. (2019). Mandal, Sabuj Kumar ; Chakravarty, Devleena. In: Journal of Social and Economic Development. RePEc:spr:jsecdv:v:21:y:2019:i:2:d:10.1007_s40847-019-00081-1.

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2017Determinants of Industrial Production in Turkey. (2017). Ozturk, Mustafa ; Agan, Yavuz . In: Journal of Economics and Financial Analysis. RePEc:trp:01jefa:jefa0023.

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2019Re-examining the debt-growth nexus: A grouped fixed-effect approach. (2019). Martinez-Zarzoso, Inmaculada ; Sosvilla-Rivero, Simon ; Gomez-Puig, Marta. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1921.

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2019Volatility specifications versus probability distributions in VaR forecasting. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1926.

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More than 100 citations found, this list is not complete...

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.
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2013The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components In: Working Papers.
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2015Unveiling the ECBs Monetary Policy Behaviour Under Different Inflation Regimes In: Economica.
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2006Structural Changes in Expected Stock Returns Relationships: Evidence from ASE In: Journal of Business Finance & Accounting.
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article3
2006Structural Changes in Expected Stock Returns Relationships: Evidence from ASE.(2006) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 3
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2010RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS In: Journal of Financial Research.
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article3
2016Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends In: Journal of Time Series Analysis.
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article3
2011MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS In: Manchester School.
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article4
2000Inflation and Exchange Rate Regimes in Mexico. In: Review of Development Economics.
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article4
1998Inflation and Exchange Rate Regimes in Mexico.(1998) In: Discussion Papers.
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This paper has another version. Agregated cites: 4
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.
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paper2
2017On the determinants of NPLS: lessons from Greece In: Working Papers.
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paper1
2017Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors In: Journal of Time Series Econometrics.
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article0
2014Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors.(2014) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
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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article0
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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paper4
2002Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms.(2002) In: Working Papers.
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paper
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 another version. Agregated cites: 4
paper
2008Recovering Risk Neutral Densities from Option Prices: A New Approach In: Journal of Financial and Quantitative Analysis.
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article16
2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier In: Working Paper Series.
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paper0
2019Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach In: Working Paper Series.
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paper0
1999The Influence of VAR Dimensions on Estimator Biases In: Econometrica.
[Citation analysis]
article39
1996The Influence of VAR Dimensions on Estimator Biases.(1996) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 39
paper
2003Rejoinder to Comment by Doornik, Nielsen, and Rothenberg In: Econometrica.
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article0
2012Detection of structural breaks in linear dynamic panel data models In: Computational Statistics & Data Analysis.
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article28
2004Detection of Structural Breaks in Linear Dynamic Panel Data Models.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 28
paper
2004Detection of Structural Breaks in Linear Dynamic Panel Data Models.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 28
paper
2014Testing for unit roots in short panels allowing for a structural break In: Computational Statistics & Data Analysis.
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article5
2010Modeling structural breaks in economic relationships using large shocks In: Journal of Economic Dynamics and Control.
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article21
2015Shifts in volatility driven by large stock market shocks In: Journal of Economic Dynamics and Control.
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article0
1998Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece In: Economic Modelling.
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article15
1996Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece..(1996) In: Discussion Papers.
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This paper has another version. Agregated cites: 15
paper
2001Fiscal policy and politics: theory and evidence from Greece 1960-1997 In: Economic Modelling.
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article8
2004The term premium and the puzzles of the expectations hypothesis of the term structure In: Economic Modelling.
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article6
2016Forecasting economic activity from yield curve factors In: The North American Journal of Economics and Finance.
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article4
2014A fixed-T version of Breitung’s panel data unit root test In: Economics Letters.
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article0
1995The persistence in volatility of the US term premium 1970-1986 In: Economics Letters.
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article14
1994The Persistence in Volatility of the US Term Premium 1970-1986..(1994) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
2005Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models In: Economics Letters.
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article3
1999Inference for unit roots in dynamic panels where the time dimension is fixed In: Journal of Econometrics.
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article388
2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks In: Econometrics and Statistics.
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article1
2014Are regime-shift sources of risk priced in the market? In: Journal of Empirical Finance.
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article1
2014Level shifts in stock returns driven by large shocks In: Journal of Empirical Finance.
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article1
2015Real term structure forecasts of consumption growth In: Journal of Empirical Finance.
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article0
1996Forecasting inflation from the term structure In: Journal of Empirical Finance.
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article29
1995Forecasting Inflation from the Term Structure..(1995) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 29
paper
2015The EMU effects on asset market holdings and the recent financial crisis In: International Review of Financial Analysis.
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article1
2016A comparison of investors’ sentiments and risk premium effects on valuing shares In: Finance Research Letters.
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article1
2015A comparison of investors sentiments and risk premium effects on valuing shares.(2015) In: Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2018Credit risk modelling under recessionary and financially distressed conditions In: Journal of Banking & Finance.
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article0
2018Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model In: Statistics & Probability Letters.
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article0
1994The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence In: Discussion Papers.
[Citation analysis]
paper1
1995The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence.(1995) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1994The Asymptotic Influence of VAR Dimension on Estimator Biases. In: Discussion Papers.
[Citation analysis]
paper0
1995Regression-Based Tests for Persistence in Conditional Variances. In: Discussion Papers.
[Citation analysis]
paper2
1996Inference for Unit Roots in Dynamic Panels. In: Discussion Papers.
[Citation analysis]
paper8
1997Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends In: Discussion Papers.
[Citation analysis]
paper0
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.
[Citation analysis]
paper0
1997Tests of Structural Stability of Risk Premia and Returns Relationship. In: Discussion Papers.
[Citation analysis]
paper0
1998Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors. In: Discussion Papers.
[Citation analysis]
paper0
1998A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests. In: International Journal of Finance & Economics.
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article18
2017Retrieving risk neutral moments and expected quadratic variation from option prices In: Review of Quantitative Finance and Accounting.
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article1
1997Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure. In: Journal of Money, Credit and Banking.
[Citation analysis]
article65
2012The local power of fixed-T panel unit root tests allowing for serially correlated errors In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2012Generalized fixed-T panel unit root tests allowing for structural breaks In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2013The power performance of fixed-T panel unit root tests allowing for structural breaks In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2013The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014A fixed-T version of Breitungs panel data unit root test and its asymptotic local power In: Discussion Papers.
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paper0
2014Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2012Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2012On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors In: MPRA Paper.
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paper0
2000Option Pricing with a Dividend General Equilibrium Model In: Working Papers.
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2000Option Pricing with a Dividend General Equilibrium Model.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2000Option Pricing under Discrete Shifts in Stock Returns In: Working Papers.
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paper7
2000Option Pricing under Discrete Shifts in Stock Returns.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
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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paper11
2003Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
2004Is the Currency Risk Priced in Equity Markets? In: Working Papers.
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paper1
2004Is the Currency Risk Priced in Equity Markets?.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
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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2004A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2005Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset In: Working Papers.
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paper1
2005Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension In: Working Papers.
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2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2006Stochastic Volatility Driven by Large Shocks In: Working Papers.
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paper2
2006Stochastic Volatility Driven by Large Shocks.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2004The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks In: Working Papers.
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paper6
1999A common shift in real interest rates across countries In: Applied Financial Economics.
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article3
1999On regression-based tests for persistence in logarithmic volatility models In: Econometric Reviews.
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article7
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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article3
2011A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series In: Econometric Reviews.
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article0
2017Local power of panel unit root tests allowing for structural breaks In: Econometric Reviews.
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article0
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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article2
2017Pricing and hedging contingent claims using variance and higher order moment swaps In: Quantitative Finance.
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article1
2014Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations In: Journal of Forecasting.
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article4
1994Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure In: Discussion Papers.
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