16
H index
25
i10 index
1049
Citations
Zacharias Psaradakis : Citation Profile
Birkbeck College | RESEARCH PRODUCTION: 55 Articles 38 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1993 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Zacharias Psaradakis. | Is cited by:
| Cites to:
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Main data
Where Zacharias Psaradakis has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Department of Economics Working Papers / Universidad Torcuato Di Tella | 11 |
| Working and Discussion Papers / Research Department, National Bank of Slovakia | 4 |
Recent works citing Zacharias Psaradakis (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | A bubble identification mechanism: Evidence from the Chinese stock market. (2024). Xiao, Feng ; Gao, Yijia ; He, Chaolin ; Khan, Yasir ; Tang, Liangling. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:1:p:55-87. Full description at Econpapers || Download paper |
| 2025 | Pakistan and the rest: Hyperinflation and Explosive Behaviour in the General Price Level. (2025). Crespo, Raul J. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:25/785. Full description at Econpapers || Download paper |
| 2025 | The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502. Full description at Econpapers || Download paper |
| 2024 | On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118. Full description at Econpapers || Download paper |
| 2024 | A simulated electronic market with speculative behaviour and bubble formation. (2024). Cofre, Nicolas ; Mosionek-Schweda, Magdalena. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s154461232400775x. Full description at Econpapers || Download paper |
| 2024 | Detecting and date-stamping bubbles in fan tokens. (2024). Demir, Ender ; Ersan, Oguz ; Assaf, Ata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:98-113. Full description at Econpapers || Download paper |
| 2025 | Testing PPP hypothesis under considerations of nonlinear and asymmetric adjustments: new international evidence. (2025). Hsieh, Chun-Kuei ; Chen, Shyh-Wei ; Xie, Zixiong. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:1:d:10.1007_s10663-024-09628-w. Full description at Econpapers || Download paper |
Works by Zacharias Psaradakis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities.(2023) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities.(2022) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2010 | Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2011 | Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2009 | Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2010 | State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes In: BCAM Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes.(2019) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | A Distance Test of Normality for a Wide Class of Stationary Processes In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 1 |
| 2017 | A distance test of normality for a wide class of stationary processes.(2017) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Portmanteau Tests for Linearity of Stationary Time Series In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Portmanteau Tests for Linearity of Stationary Time Series.(2016) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Portmanteau tests for linearity of stationary time series.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2024) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Normality Tests for Dependent Data.(2017) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | Bootstrap-Assisted Tests of Symmetry for Dependent Data In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Bootstrap Assisted Tests of Symmetry for Dependent Data.(2018) In: Working and Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation In: Archive Discussion Papers. [Citation analysis] | paper | 8 |
| 1997 | Testing for unit roots in time series with nearly deterministic seasonal variation.(1997) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 1993 | PcGive and PcFiml Version 7 [Review Article]. In: Journal of Economic Surveys. [Citation analysis] | article | 0 |
| 2001 | Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
| 2003 | ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 91 |
| 2002 | On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 91 | paper | |
| 2004 | On the Autocorrelation Properties of Long‐Memory GARCH Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 35 |
| 2002 | On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2006 | Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 49 |
| 2008 | Assessing Time‐Reversibility Under Minimal Assumptions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 2009 | Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 15 |
| 2015 | A Quantile-based Test for Symmetry of Weakly Dependent Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 1993 | The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 9 |
| 1997 | A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 17 |
| 2013 | State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 8 |
| 2006 | Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2011 | Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | On testing for bubbles during hyperinflations In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | On Testing for Bubbles During Hyperinflations.(2022) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2000 | p-Value Adjustments for Multiple Tests for Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2002 | Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 20 |
| 1998 | An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 2001 | An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2003 | Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 74 |
| 2005 | Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | article | |
| 1995 | An Analysis of Seasonality in the U.K. Equity Market. In: Economic Journal. [Full Text][Citation analysis] | article | 22 |
| 2001 | Markov level shifts and the unit-root hypothesis In: Econometrics Journal. [Citation analysis] | article | 9 |
| 2023 | Rational bubbles: Too many to be true? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
| 2021 | Rational Bubbles: Too Many to be True?.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1997 | Switching error-correction models of house prices in the United Kingdom In: Economic Modelling. [Full Text][Citation analysis] | article | 45 |
| 2003 | Target zone credibility and economic fundamentals In: Economic Modelling. [Full Text][Citation analysis] | article | 14 |
| 2014 | On testing for nonlinearity in multivariate time series In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 1994 | A comparison of tests of linear hypotheses in cointegrated vector autoregressive models In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
| 2001 | On bootstrap inference in cointegrating regressions In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2001 | A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
| 2002 | A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters. [Full Text][Citation analysis] | article | 20 |
| 1996 | On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1993 | On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 1998 | Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2000 | Bootstrap tests for unit roots in seasonal autoregressive models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
| 2002 | On the asymptotic behaviour of unit-root tests in the presence of a Markov trend In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
| 2003 | A sieve bootstrap test for stationarity In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 5 |
| 2006 | Blockwise bootstrap testing for stationarity In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
| 1995 | Regression-Based Tests for Persistence in Conditional Variances. In: Discussion Papers. [Citation analysis] | paper | 2 |
| 1998 | Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2000 | Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 6 |
| 1997 | Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 47 |
| 1999 | Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 160 |
| 2003 | On detrending and cyclical asymmetry In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2002 | On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
| 2004 | On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 104 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2005 | Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2001 | A simple method for testing cointegration subject to regime changes In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2007 | Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | On inference based on the one-sample sign statistic for long-range dependent data In: Computational Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | On Using Triples to Assess Symmetry Under Weak Dependence In: Working and Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Using Triples to Assess Symmetry Under Weak Dependence.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 1998 | Bootstrap-based evaluation of markov-switching time series models In: Econometric Reviews. [Full Text][Citation analysis] | article | 9 |
| 1999 | On regression-based tests for persistence in logarithmic volatility models In: Econometric Reviews. [Full Text][Citation analysis] | article | 10 |
| 2016 | Semiparametric Sieve-Type Generalized Least Squares Inference In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2016 | Using the Bootstrap to Test for Symmetry Under Unknown Dependence In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
| 2010 | Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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