Details about Ioannis A. Venetis

Access statistics for papers by Ioannis A. Venetis.

Last updated 2024-08-09. Update your information in the RePEc Author Service.

Short-id: pve55

Working Papers

2022

1. Co-movement and global factors in sovereign bond yields
   MPRA Paper, University Library of Munich, Germany

2020

2. A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (3)
   See also Journal Article A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012), Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2020) View citations (1) (2020)

2019

3. Dynamic Factor Models in gretl. The DFM package
   gretl working papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (3)

2009

4. ESTAR model with multiple fixed points. Testing and Estimation
   Working Papers, Lancaster University Management School, Economics Department View citations (2)

2006

5. The long memory story of real interest rates. Can it be supported?
   Working Papers, Lancaster University Management School, Economics Department
   Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2005)
6. The political economy of unemployment and threshold effects. A nonlinear time series approach
   Keele Economics Research Papers, Centre for Economic Research, Keele University

2005

7. Smooth transition models and arbitrage consistency
   Working Papers, Lancaster University Management School, Economics Department View citations (12)
   See also Journal Article Smooth Transition Models and Arbitrage Consistency, Economica, London School of Economics and Political Science (2005) View citations (12) (2005)

2004

8. ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (5)
   See also Journal Article Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (5) (2004)
9. PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (8)
   See also Journal Article Predicting real growth and the probability of recession in the Euro area using the yield spread, International Journal of Forecasting, Elsevier (2005) View citations (48) (2005)
10. The long memory story of ex post real interest rates. Can it be supported?
    Econometrics, University Library of Munich, Germany

2003

11. Distinguishing between long-range dependence and deterministic trends
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (10)

Journal Articles

2024

1. Fiscal Space and Policy Response to Financial Crises: Market Access and Deficit Concerns
   Open Economies Review, 2024, 35, (2), 323-361 View citations (1)

2021

2. Factor decomposition of disaggregate inflation: the case of Greece
   International Journal of Computational Economics and Econometrics, 2021, 11, (1), 37-62 View citations (1)

2020

3. A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)
   Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2020, 14, 1-14 View citations (1)
   See also Working Paper A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012), Economics Discussion Papers (2020) View citations (3) (2020)

2019

4. TRANSMISSION CHAINS OF ECONOMIC UNCERTAINTY ON MACROECONOMIC ACTIVITY: NEW EMPIRICAL EVIDENCE
   Macroeconomic Dynamics, 2019, 23, (8), 3355-3385 View citations (3)

2015

5. Long memory in log-range series: Do structural breaks matter?
   Journal of Empirical Finance, 2015, 33, (C), 104-113 View citations (8)
6. On inter-arrival times of bond market extreme events. An application to seven European markets
   Journal of Economics and Finance, 2015, 39, (4), 717-741
7. Unit roots and trend breaks in the Greek labor market
   Journal of Economic Studies, 2015, 42, (4), 641-658 View citations (4)

2014

8. Smooth transition trends and labor force participation rates in the United States
   Empirical Economics, 2014, 46, (2), 629-652 View citations (4)

2013

9. Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock
   Energy Economics, 2013, 39, (C), 108-121 View citations (18)
10. The causal relationship between female labor supply and fertility in the USA: updated evidence via a time series multi-horizon approach
    Journal of Population Economics, 2013, 26, (1), 109-145 View citations (8)

2007

11. Deterministic impulse response in a nonlinear model. An analytical expression
    Economics Letters, 2007, 95, (3), 315-319 View citations (2)

2005

12. Non-linearity in stock index returns: the volatility and serial correlation relationship
    Economic Modelling, 2005, 22, (1), 1-19 View citations (5)
13. Predicting real growth and the probability of recession in the Euro area using the yield spread
    International Journal of Forecasting, 2005, 21, (2), 261-277 View citations (48)
    See also Working Paper PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD, Working Papers. Serie AD (2004) View citations (8) (2004)
14. Smooth Transition Models and Arbitrage Consistency
    Economica, 2005, 72, (287), 413-430 View citations (12)
    See also Working Paper Smooth transition models and arbitrage consistency, Working Papers (2005) View citations (12) (2005)

2004

15. Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
    Journal of Forecasting, 2004, 23, (5), 373-384 View citations (5)
    See also Working Paper ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING, Working Papers. Serie AD (2004) View citations (5) (2004)
16. Estimates of US monetary policy rules with allowance for changes in the output gap
    Applied Economics Letters, 2004, 11, (10), 601-605 View citations (5)
17. Further empirical analysis of the time series properties of financial ratios based on a panel data approach
    Applied Financial Economics, 2004, 14, (3), 155-163 View citations (6)

2003

18. Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS
    Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 421-437 View citations (41)
19. Purchasing power parity over two centuries: trends and nonlinearity
    Applied Economics, 2003, 35, (5), 609-617 View citations (30)
20. Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach
    International Review of Economics & Finance, 2003, 12, (2), 187-206 View citations (34)