Details about Theodore Simos

Access statistics for papers by Theodore Simos.

Last updated 2018-12-10. Update your information in the RePEc Author Service.

Short-id: psi322

Working Papers

2012

1. A new test for deficit sustainability and its application to US data
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article A new test for deficit sustainability and its application to US data, Empirical Economics, Springer (2013) View citations (5) (2013)
2. International portfolio diversification: An ICAPM approach with currency risk
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article International portfolio diversification: an ICAPM approach with currency risk, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2013) View citations (1) (2013)

2011

3. Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis
   MPRA Paper, University Library of Munich, Germany
4. Monetary Union effects on European stock market integration: An international CAPM approach with currency risk
   MPRA Paper, University Library of Munich, Germany View citations (1)
5. The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach
   MPRA Paper, University Library of Munich, Germany View citations (6)

1995

6. Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends, Econometric Theory, Cambridge University Press (1996) View citations (4) (1996)

Journal Articles

2020

1. Are there any other safe haven assets? Evidence for “exotic” and alternative assets
   International Review of Economics & Finance, 2020, 69, (C), 614-628 View citations (22)

2018

2. Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme
   Computational Statistics, 2018, 33, (4), 1687-1713

2017

3. Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets
   Economic Modelling, 2017, 66, (C), 112-120 View citations (30)

2016

4. On high frequency dynamics between information asymmetry and volatility for securities
   The Journal of Economic Asymmetries, 2016, 13, (C), 21-34

2014

5. Contagion effects on stock and FX markets
   Studies in Economics and Finance, 2014, 31, (3), 246-254 View citations (3)

2013

6. A new test for deficit sustainability and its application to US data
   Empirical Economics, 2013, 45, (1), 61-79 View citations (5)
   See also Working Paper A new test for deficit sustainability and its application to US data, MPRA Paper (2012) (2012)
7. Contagion channels of the USA subprime financial crisis
   Journal of Financial Economic Policy, 2013, 5, (1), 61-71 View citations (3)
8. Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
   International Review of Financial Analysis, 2013, 30, (C), 46-56 View citations (186)
9. International portfolio diversification: an ICAPM approach with currency risk
   Macroeconomics and Finance in Emerging Market Economies, 2013, 6, (2), 177-189 View citations (1)
   See also Working Paper International portfolio diversification: An ICAPM approach with currency risk, MPRA Paper (2012) (2012)
10. Is the US current-account deficit sustainable? The importance of structural breaks in testing sustainability
    Economics Bulletin, 2013, 33, (4), 2817-2827 View citations (1)
11. Testing purchasing power parity for Japan and the US: A structural-break approach
    Japan and the World Economy, 2013, 28, (C), 53-59 View citations (9)

2012

12. On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach
    Journal of Time Series Econometrics, 2012, 4, (2), 26 View citations (1)

2009

13. THE EXACT DISCRETE MODEL OF A THIRD-ORDER SYSTEM OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBSERVABLE STOCHASTIC TRENDS
    Macroeconomic Dynamics, 2009, 13, (5), 656-672

2008

14. The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
    Journal of Time Series Analysis, 2008, 29, (6), 1019-1031 View citations (2)

1996

15. Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends
    Econometric Theory, 1996, 12, (2), 361-373 View citations (4)
    See also Working Paper Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends, LIDAM Discussion Papers CORE (1995) (1995)