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Details about Elias Tzavalis

Homepage:http://www.aueb.gr/users/etzavalis/
Postal address:School of Economics Department of Economics Athens University of Economics & Business Athens 104 34 Greece
Workplace:Department of Economics, Athens University of Economics and Business (AUEB), (more information at EDIRC)

Access statistics for papers by Elias Tzavalis.

Last updated 2017-02-08. Update your information in the RePEc Author Service.

Short-id: ptz13


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Working Papers

2013

  1. The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads

2012

  1. Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors
    MPRA Paper, University Library of Munich, Germany Downloads

2011

  1. Unveiling the monetary policy rule in euro area
    Working Papers, Bank of Greece Downloads View citations (2)

2006

  1. Stochastic Volatility Driven by Large Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

2005

  1. Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  2. Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads

2004

  1. A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
  2. Detection of Structural Breaks in Linear Dynamic Panel Data Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (12)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  3. Is the Currency Risk Priced in Equity Markets?
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
  4. The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)

2003

  1. Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (9)

2002

  1. Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (8)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2002) Downloads View citations (4)

2000

  1. Option Pricing under Discrete Shifts in Stock Returns
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (7)
  2. Option Pricing with a Dividend General Equilibrium Model
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads

1998

  1. Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors
    Discussion Papers, Exeter University, Department of Economics
  2. Inflation and Exchange Rate Regimes in Mexico
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Review of Development Economics (2000)

1997

  1. Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends
    Discussion Papers, Exeter University, Department of Economics
  2. Tests of Structural Stability of Risk Premia and Returns Relationship
    Discussion Papers, Exeter University, Department of Economics
  3. Which 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?
    Discussion Papers, Exeter University, Department of Economics

1996

  1. Inference for Unit Roots in Dynamic Panels
    Discussion Papers, Exeter University, Department of Economics View citations (7)
  2. Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Economic Modelling (1998)

1995

  1. Forecasting Inflation from the Term Structure
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Journal of Empirical Finance (1996)
  2. Regression-Based Tests for Persistence in Conditional Variances
    Discussion Papers, Exeter University, Department of Economics View citations (1)

1994

  1. The Asymptotic Influence of VAR Dimension on Estimator Biases
    Discussion Papers, Exeter University, Department of Economics
  2. The Persistence in Volatility of the US Term Premium 1970-1986
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Economics Letters (1995)
  3. The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence
    Discussion Papers, Exeter University, Department of Economics View citations (1)
    Also in Discussion Papers, Department of Economics, University of York View citations (1)

Undated

  1. A comparison of investors' sentiments and risk premium effects on valuing shares
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Finance Research Letters (2016)
  2. A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. Generalized fixed-T panel unit root tests allowing for structural breaks
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
  4. Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure
    Discussion Papers, Department of Economics, University of York
  5. Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  6. Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  7. The Influence of VAR Dimensions on Estimator Biases
    Discussion Papers, Department of Economics, University of York View citations (10)
    See also Journal Article in Econometrica (1999)
  8. The local power of fixed-T panel unit root tests allowing for serially correlated errors
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads

Journal Articles

2016

  1. A comparison of investors’ sentiments and risk premium effects on valuing shares
    Finance Research Letters, 2016, 17, (C), 1-6 Downloads
    See also Working Paper
  2. Forecasting economic activity from yield curve factors
    The North American Journal of Economics and Finance, 2016, 36, (C), 293-311 Downloads
  3. Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends
    Journal of Time Series Analysis, 2016, 37, (2), 222-239 Downloads View citations (1)

2015

  1. Real term structure forecasts of consumption growth
    Journal of Empirical Finance, 2015, 33, (C), 208-222 Downloads View citations (1)
  2. Shifts in volatility driven by large stock market shocks
    Journal of Economic Dynamics and Control, 2015, 55, (C), 130-147 Downloads
  3. Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 49-70 Downloads View citations (2)
  4. The EMU effects on asset market holdings and the recent financial crisis
    International Review of Financial Analysis, 2015, 42, (C), 153-161 Downloads
  5. Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes
    Economica, 2015, 82, (328), 912-937 Downloads

2014

  1. A fixed-T version of Breitung’s panel data unit root test
    Economics Letters, 2014, 124, (1), 83-87 Downloads View citations (1)
  2. Are regime-shift sources of risk priced in the market?
    Journal of Empirical Finance, 2014, 28, (C), 151-170 Downloads View citations (3)
  3. Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
    Journal of Forecasting, 2014, 33, (7), 515-531 Downloads View citations (1)
  4. Level shifts in stock returns driven by large shocks
    Journal of Empirical Finance, 2014, 29, (C), 41-51 Downloads View citations (2)
  5. Testing for unit roots in short panels allowing for a structural break
    Computational Statistics & Data Analysis, 2014, 76, (C), 391-407 Downloads View citations (8)

2012

  1. A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
    Journal of Applied Statistics, 2012, 39, (9), 1975-1990 Downloads View citations (2)
  2. Detection of structural breaks in linear dynamic panel data models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3020-3034 Downloads View citations (10)
    See also Working Paper (2004)

2011

  1. A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
    Econometric Reviews, 2011, 30, (2), 208-249 Downloads View citations (2)
  2. MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS
    Manchester School, 2011, 79, (s2), 73-97 Downloads View citations (5)

2010

  1. Modeling structural breaks in economic relationships using large shocks
    Journal of Economic Dynamics and Control, 2010, 34, (3), 417-436 Downloads View citations (16)
  2. RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS
    Journal of Financial Research, 2010, 33, (2), 125-151 Downloads View citations (2)

2008

  1. Recovering Risk Neutral Densities from Option Prices: A New Approach
    Journal of Financial and Quantitative Analysis, 2008, 43, (04), 1037-1053 Downloads View citations (8)

2006

  1. Structural Changes in Expected Stock Returns Relationships: Evidence from ASE
    Journal of Business Finance & Accounting, 2006, 33, (9-10), 1610-1628 Downloads View citations (3)

2005

  1. Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models
    Economics Letters, 2005, 88, (1), 91-96 Downloads View citations (5)

2004

  1. Testing 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
    Econometric Reviews, 2004, 23, (2), 149-166 Downloads View citations (2)
  2. The term premium and the puzzles of the expectations hypothesis of the term structure
    Economic Modelling, 2004, 21, (1), 73-93 Downloads View citations (6)

2003

  1. Rejoinder to Comment by Doornik, Nielsen, and Rothenberg
    Econometrica, 2003, 71, (1), 385-386 Downloads

2001

  1. Fiscal policy and politics: theory and evidence from Greece 1960-1997
    Economic Modelling, 2001, 18, (2), 253-268 Downloads View citations (4)

2000

  1. Inflation and Exchange Rate Regimes in Mexico
    Review of Development Economics, 2000, 4, (1), 87-100 Downloads View citations (3)
    See also Working Paper (1998)

1999

  1. A common shift in real interest rates across countries
    Applied Financial Economics, 1999, 9, (4), 365-369 Downloads View citations (3)
  2. Inference for unit roots in dynamic panels where the time dimension is fixed
    Journal of Econometrics, 1999, 91, (2), 201-226 Downloads View citations (261)
  3. On regression-based tests for persistence in logarithmic volatility models
    Econometric Reviews, 1999, 18, (4), 441-448 Downloads View citations (8)
  4. The Influence of VAR Dimensions on Estimator Biases
    Econometrica, 1999, 67, (1), 163-182 View citations (33)
    See also Working Paper

1998

  1. A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests
    International Journal of Finance & Economics, 1998, 3, (3), 229-39 Downloads View citations (16)
  2. Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece
    Economic Modelling, 1998, 16, (1), 71-86 Downloads View citations (15)
    See also Working Paper (1996)

1997

  1. Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
    Journal of Money, Credit and Banking, 1997, 29, (3), 364-80 View citations (61)

1996

  1. Forecasting inflation from the term structure
    Journal of Empirical Finance, 1996, 3, (1), 103-122 Downloads View citations (24)
    See also Working Paper (1995)

1995

  1. The persistence in volatility of the US term premium 1970-1986
    Economics Letters, 1995, 49, (4), 381-389 Downloads View citations (12)
    See also Working Paper (1994)

Edited books

2012

  1. The Refinement of Econometric Estimation and Test Procedures
    Cambridge Books, Cambridge University Press

2007

  1. The Refinement of Econometric Estimation and Test Procedures
    Cambridge Books, Cambridge University Press View citations (1)

Software Items

 
Page updated 2017-03-27