Elias Tzavalis : Citation Profile


Are you Elias Tzavalis?

Athens University of Economics and Business (AUEB)

10

H index

11

i10 index

675

Citations

RESEARCH PRODUCTION:

43

Articles

50

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 28
   Journals where Elias Tzavalis has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 39 (5.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptz13
   Updated: 2018-12-15    RAS profile: 2018-11-10    
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Relations with other researchers


Works with:

Karavias, Yiannis (8)

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)

Lau, Evan (10)

Karanassou, Marika (10)

Apergis, Nicholas (9)

Christopoulos, Dimitris (9)

Kool, Clemens (8)

Tsionas, Mike (8)

Wickens, Michael (8)

Westerlund, Joakim (8)

Cites to:

Perron, Pierre (39)

Andrews, Donald (27)

Campbell, John (25)

Phillips, Peter (24)

Bai, Jushan (23)

Moon, Hyungsik (21)

Perron, Benoit (18)

Pesaran, M (17)

Kruiniger, Hugo (15)

Wickens, Michael (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
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

Recent works citing Elias Tzavalis (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017ICT, Conflicts in Financial Intermediation and Financial Access: Evidence of Synergy and Threshold Effects. (2017). Asongu, Simplice ; Acha-Anyi, Paul. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:17/045.

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2017A Reassessment of Product Aggregation Bias in Demand Analysis: An Application to the U.S. Meat Market. (2017). Li, Wenying ; Zhen, Chen. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258197.

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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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2017Sectoral Growth and Energy Consumption in South and Southeast Asian Countries: Evidence from a Panel Data Approach. (2017). Rezitis, Anthony ; Ahammad, Shaikh Mostak . In: Review of Economics & Finance. RePEc:bap:journl:170401.

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2017Identifying Dornbuschs Exchange Rate Overshooting with Structural VECs: Evidence from Mexico. (2017). Hernandez, Juan ; Chiquiar, Daniel ; Capistrán, Carlos ; Juan, Hernandez ; Daniel, Chiquiar ; Carlos, Capistran . In: Working Papers. RePEc:bdm:wpaper:2017-11.

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2017Bank Market Power and Loan Contracts: Empirical Evidence. (2017). HASAN, IFTEKHAR ; Zhen, Xinting ; Wang, Haizhi ; Liu, Liuling ; Vacca, Valerio ; Rossi, Paola ; Pagnini, Marcello . In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:3:p:649-676.

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

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2017The Consumption Response to Minimum Wages: Evidence from Chinese Households. (2017). Dautovic, Ernest ; Huang, YI ; Hau, Harald. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12057.

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2017Has cultural heritage monetary value an impact on visits? An assessment using Italian official data. (2017). Rizzo, Ilde ; Mignosa, Anna ; Lisi, Domenico ; Guccio, Calogero. In: ACEI Working Paper Series. RePEc:cue:wpaper:awp-02-2017.

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2017The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0021.

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2017Herding behaviour of Dutch pension funds in sovereign bond investments. (2017). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:569.

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2017Analyzing Current Account Sustainability through the Saving-Investment Correlation. (2017). Dash, Santosh Kumar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00810.

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2017Determinants of FDI inflows in advanced economies: Does the quality of economic structures matter?. (2017). Sondermann, David ; Vansteenkiste, Isabel ; Dellis, Konstantinos . In: Working Paper Series. RePEc:ecb:ecbwps:20172066.

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2017Analyze the Determinants of Capital Structure for Vietnamese Real Estate Listed Companies. (2017). Phuong, Nguyen Thi ; Thu, Dang Thi ; Lien, Nguyen Phuong . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-36.

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

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2017The behaviour of SMEs capital structure determinants in different macroeconomic states. (2017). Balios, Dimitrios ; Daskalakis, Nikolaos ; Dalla, Violetta. In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:248-260.

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2017Does the design of a fiscal rule matter for welfare?. (2017). Smith, Constance ; Landon, Stuart. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:226-237.

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2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:258-271.

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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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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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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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2017Rethinking cointegration and the expectation hypothesis of the term structure. (2017). Li, Jing ; Davis, George. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:177-189.

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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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2017Modelling oil price-inflation nexus: The role of asymmetries. (2017). Salisu, Afees ; Oyewole, Oluwatomisin ; Isah, Kazeem ; Akanni, Lateef. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:97-106.

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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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2017Do countries endowments of non-renewable energy resources matter for FDI attraction? A panel data analysis of 125 countries over the period 1995–2012. (2017). Forte, Rosa ; Assuno, Susana. In: International Economics. RePEc:eee:inteco:v:150:y:2017:i:c:p:57-71.

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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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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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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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2017Gas and electricity demand in Spanish manufacturing industries: An analysis using homogeneous and heterogeneous estimators. (2017). Peasco, Cristina ; Romero-Jordan, Desiderio ; del Rio, Pablo. In: Utilities Policy. RePEc:eee:juipol:v:45:y:2017:i:c:p:45-60.

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2017Exploring the relationship among CO2 emissions, real GDP, energy consumption and tourism in the EU and candidate countries: Evidence from panel models robust to heterogeneity and cross-sectional depen. (2017). Dogan, Eyup ; Aslan, Alper. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:239-245.

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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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2017Inflation and consumption of nontradable goods: Global implications from regional analyses. (2017). Nagayasu, Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:478-491.

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2017Structural change and economic growth: Empirical evidence and policy insights from Asian economies. (2017). Vu, K M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:41:y:2017:i:c:p:64-77.

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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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2017Testing for a Structural Break in a Spatial Panel Model. (2017). Sengupta, Aparna . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:12-:d:92290.

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2017The Impact of Foreign Direct Investment (FDI) on the Environment: Market Perspectives and Evidence from China. (2017). Sheng, Pengfei ; Zheng, Jiajia . In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:1:p:8-:d:92253.

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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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2017The Consumption Response to Minimum Wages: Evidence from Chinese Households. (2017). Dautovic, Ernest ; Huang, YI ; Hau, Harald. In: IHEID Working Papers. RePEc:gii:giihei:heidwp01-2017.

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2017The Relationship between Labor Productivity and Economic Growth in OECD Countries. (2017). Korkmaz, Suna . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:5:p:71-76.

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2017A Robust Analysis of the Relationship between Natural Disasters, Electricity and Economic Growth in 41 Countries. (2017). Ben Ali, Nadia ; Saidi, Kais ; Benali, Nadia. In: Journal of Economic Development. RePEc:jed:journl:v:42:y:2017:i:3:p:89-109.

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2017Mortgage lending, banking crises, and financial stability in Asia and Europe. (2017). Morgan, Peter J ; Zhang, Yan . In: Asia Europe Journal. RePEc:kap:asiaeu:v:15:y:2017:i:4:d:10.1007_s10308-017-0489-y.

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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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2017Size matters: fragmentation and vertical fiscal imbalances in Moldova. (2017). Cevik, Serhan. In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:2:d:10.1007_s10663-016-9325-7.

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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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2017ICT, conflicts in financial intermediation and financial access: evidence of synergy and threshold effects. (2017). Asongu, Simplice ; Acha-Anyi, Paul N. In: Netnomics. RePEc:kap:netnom:v:18:y:2017:i:2:d:10.1007_s11066-017-9119-5.

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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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2017Banking competition in the Brazilian economy [Banking competition in the Brazilian economy]. (2017). Divino, Jose Angelo ; SILVA, RENAN SAID . In: Nova Economia. RePEc:nov:artigo:v:27:y:2017:i:3:p:393-419.

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2017The effect of renewable energy use and economic growth on pollution in the EUROZONE. (2017). Fotis, Panagiotis Nikolaos ; Pekka, Victoria . In: Economics and Business Letters. RePEc:ove:journl:aid:11878.

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2017Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach. (2017). Raihan, Selim ; Abdullah, S M ; Siddiqua, Salina ; Barkat, Aroni . In: MPRA Paper. RePEc:pra:mprapa:77172.

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2017Credit Rationing and Pass-Through in Supply Chains: Theory and Evidence from Bangladesh. (2017). Shilpi, Forhad ; Emran, M. Shahe ; Uddin, Helal M ; Mookherjee, Dilip. In: MPRA Paper. RePEc:pra:mprapa:79844.

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2017ICT, Conflicts in Financial Intermediation and Financial Access: Evidence of Synergy and Threshold Effects. (2017). Asongu, Simplice ; Acha-Anyi, Paul. In: MPRA Paper. RePEc:pra:mprapa:84047.

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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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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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2017P-SVAR Analysis of Stability in Sub-Saharan Africa Commercial Banks. (2017). Akande, Joseph Olorunfemi ; Kwenda, Farai. In: SPOUDAI Journal of Economics and Business. RePEc:spd:journl:v:67:y:2017:i:3:p:49-78.

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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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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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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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2017Fertility and Financial Development in South Asia. (2017). Shahzad, Syed Jawad Hussain ; Zakaria, Muhammad ; Hussain, Syed Jawad ; Janjua, Saquib Yousaf ; Fida, Bashir Ahmed . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:133:y:2017:i:2:d:10.1007_s11205-016-1382-6.

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2017Testing economic convergence in non-stationary panel. (2017). Niang, Abdou-Aziz . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:1:d:10.1007_s10260-016-0361-z.

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2017Cumulative sum estimator for change-point in panel data. (2017). Chen, Zhuoheng ; Hu, Yijun. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0722-y.

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2017Does military spending promote social welfare? A comparative analysis of the BRICS and G7 countries. (2017). Zhang, Ying ; Wang, Rui ; Xu, Jia Xin ; Liu, Xiaoxing. In: Defence and Peace Economics. RePEc:taf:defpea:v:28:y:2017:i:6:p:686-702.

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2017Political cycles in Greece’s municipal employment. (2017). Logothetis, Vassilis ; Chortareas, Georgios ; Papandreou, Andreas A. In: Journal of Economic Policy Reform. RePEc:taf:jpolrf:v:20:y:2017:i:4:p:321-342.

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2017The spatial impact of employment centres on housing markets. (2017). Fuerst, Franz ; Laszkiewicz, Edyta ; Szumilo, Nikodem. In: Spatial Economic Analysis. RePEc:taf:specan:v:12:y:2017:i:4:p:472-491.

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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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2017Herding behaviour of Dutch pension funds in sovereign bond investments. (2017). Bikker, Jacob ; Koetsier, I. In: Working Papers. RePEc:use:tkiwps:1715.

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Elias Tzavalis has edited the books:


YearTitleTypeCited

Works by Elias Tzavalis:


YearTitleTypeCited
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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2010RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS In: Journal of Financial Research.
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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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2011MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS In: Manchester School.
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2000Inflation and Exchange Rate Regimes in Mexico. In: Review of Development Economics.
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1998Inflation and Exchange Rate Regimes in Mexico.(1998) In: Discussion Papers.
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2011Unveiling the monetary policy rule in euro area In: Working Papers.
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2017On the determinants of NPLS: lessons from Greece In: Working Papers.
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2017Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors In: Journal of Time Series Econometrics.
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2001Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors.(2001) 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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