Details about Antonis Demos

Access statistics for papers by Antonis Demos.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pde48

Working Papers

2023

1. Estimation of Asymmetric Stochastic Volatility in Mean Models
   DEOS Working Papers, Athens University of Economics and Business
2. Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models
   DEOS Working Papers, Athens University of Economics and Business View citations (1)

2018

3. Finite Sample Theory and Bias Correction of MLEs in the EGARCH Model (Technical Appendix I)
   DEOS Working Papers, Athens University of Economics and Business
   Also in DEOS Working Papers, Athens University of Economics and Business (2018)
4. Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model
   DEOS Working Papers, Athens University of Economics and Business View citations (1)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
   See also Journal Article Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model, Journal of Time Series Econometrics, De Gruyter (2019) (2019)

2014

5. A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)
   DEOS Working Papers, Athens University of Economics and Business
   See also Journal Article A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction, Econometrics Journal, Royal Economic Society (2015) View citations (3) (2015)
6. On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators
   DEOS Working Papers, Athens University of Economics and Business View citations (4)
   See also Journal Article On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators, Journal of Econometric Methods, De Gruyter (2018) (2018)

2013

7. On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)
   DEOS Working Papers, Athens University of Economics and Business View citations (2)
   Also in DEOS Working Papers, Athens University of Economics and Business (2012)

2012

8. Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model
   DEOS Working Papers, Athens University of Economics and Business View citations (4)
   See also Journal Article Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model, Econometric Reviews, Taylor & Francis Journals (2016) View citations (5) (2016)
9. Stochastic Expansions and Moment Approximations for Three Indirect Estimators Revised (Extended Appendix)
   DEOS Working Papers, Athens University of Economics and Business
10. Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations
    DEOS Working Papers, Athens University of Economics and Business View citations (6)

2011

11. Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model
    DEOS Working Papers, Athens University of Economics and Business View citations (2)

2010

12. A New Class of Indirect Estimators and Bias Correction
    DEOS Working Papers, Athens University of Economics and Business View citations (2)
13. Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA (1) Models
    MPRA Paper, University Library of Munich, Germany
    Also in DEOS Working Papers, Athens University of Economics and Business (2010) View citations (7)
14. Stochastic Expansions and Moment Approximations for Three Indirect Estimators
    DEOS Working Papers, Athens University of Economics and Business View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2010)

1996

15. An EM Algorithm for Conditionally Heteroskedastic Factor Models
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (5)
    Also in Working Papers, CEMFI (1996) View citations (1)
    See also Journal Article An EM Algorithm for Conditionally Heteroscedastic Factor Models, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (13) (1998)
16. Testing for GARCH Effects: A One-Sided Approach
    Working Papers, CEMFI View citations (8)
    See also Journal Article Testing for GARCH effects: a one-sided approach, Journal of Econometrics, Elsevier (1998) View citations (50) (1998)

Journal Articles

2019

1. Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model
   Journal of Time Series Econometrics, 2019, 11, (1), 20
   See also Working Paper Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model, DEOS Working Papers (2018) View citations (1) (2018)

2018

2. On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators
   Journal of Econometric Methods, 2018, 7, (1), 38
   See also Working Paper On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators, DEOS Working Papers (2014) View citations (4) (2014)

2016

3. Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model
   Econometric Reviews, 2016, 35, (2), 293-310 View citations (5)
   See also Working Paper Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model, DEOS Working Papers (2012) View citations (4) (2012)

2015

4. A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction
   Econometrics Journal, 2015, 18, (2), 200-241 View citations (3)
   See also Working Paper A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised), DEOS Working Papers (2014) (2014)

2014

5. Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations
   Journal of Time Series Econometrics, 2014, 6, (2), 183-235 View citations (1)

2011

6. Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model
   Journal of Probability and Statistics, 2011, 2011, 1-39 View citations (1)

2007

7. U.K. Stock Market Inefficiencies and the Risk Premium
   Multinational Finance Journal, 2007, 11, (1-2), 97-122 View citations (1)

2004

8. An event study analysis of outward foreign direct investment: the case of Greece
   International Journal of the Economics of Business, 2004, 11, (3), 329-348 View citations (3)
9. Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
   Journal of Time Series Analysis, 2004, 25, (1), 1-25 View citations (12)

2002

10. Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
    Econometrics Journal, 2002, 5, (2), 345-357 View citations (28)

1998

11. An EM Algorithm for Conditionally Heteroscedastic Factor Models
    Journal of Business & Economic Statistics, 1998, 16, (3), 357-61 View citations (13)
    See also Working Paper An EM Algorithm for Conditionally Heteroskedastic Factor Models, Working Papers (1996) View citations (5) (1996)
12. Testing Asset Pricing Models: The Case of Athens Stock Exchange
    Multinational Finance Journal, 1998, 2, (3), 189-223 View citations (5)
13. Testing for GARCH effects: a one-sided approach
    Journal of Econometrics, 1998, 86, (1), 97-127 View citations (50)
    See also Working Paper Testing for GARCH Effects: A One-Sided Approach, Working Papers (1996) View citations (8) (1996)