Details about Dimitrios P. Louzis

Access statistics for papers by Dimitrios P. Louzis.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: plo262

Working Papers

2016

1. Macroeconomic forecasting and structural changes in steady states
   Working Papers, Bank of Greece View citations (9)

2015

2. Profitability in the Greek Banking System: a Dual Investigation of Net Interest and Non-Interest Income
   Working Papers, Bank of Greece View citations (32)
3. Steady-state priors and Bayesian variable selection in VAR forecasting
   Working Papers, Bank of Greece View citations (1)
   See also Journal Article Steady-state priors and Bayesian variable selection in VAR forecasting, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) (2016)

2014

4. Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach
   Working Papers, Bank of Greece

2013

5. A financial systemic stress index for Greece
   Working Paper Series, European Central Bank View citations (33)
   Also in Working Papers, Bank of Greece (2013) View citations (25)
6. Measuring return and volatility spillovers in euro area financial markets
   Working Papers, Bank of Greece View citations (15)

2011

7. Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
   MPRA Paper, University Library of Munich, Germany View citations (1)
8. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
   Post-Print, HAL View citations (1)
   See also Journal Article Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility, Applied Economics, Taylor & Francis Journals (2012) View citations (10) (2012)
9. The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (16) (2013)

2010

10. Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios
    Working Papers, Bank of Greece View citations (43)
    See also Journal Article Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios, Journal of Banking & Finance, Elsevier (2012) View citations (394) (2012)

Journal Articles

2021

1. The impact of economic uncertainty and inflation uncertainty on the Greek economy
   Economic Bulletin, 2021, (53), 49-68 View citations (5)

2019

2. Steady‐state modeling and macroeconomic forecasting quality
   Journal of Applied Econometrics, 2019, 34, (2), 285-314 View citations (4)

2018

3. Greek GDP revisions and short-term forecasting
   Economic Bulletin, 2018, (48), 79-100
4. Leading indicators of non-performing loans in Greece: the information content of macro-, micro- and bank-specific variables
   Empirical Economics, 2018, 54, (3), 1187-1214 View citations (10)

2017

5. Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs
   Empirical Economics, 2017, 53, (2), 569-598 View citations (1)
6. Macroeconomic effects of unconventional monetary policy in the Eurozone using non-linear models
   Economic Bulletin, 2017, (46), 7-24 View citations (5)
7. Profit strategy of Greek banks: cross-subsidization and diversification versus complementarity
   Applied Economics, 2017, 49, (44), 4460-4481 View citations (3)

2016

8. Steady-state priors and Bayesian variable selection in VAR forecasting
   Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (5), 495-527
   See also Working Paper Steady-state priors and Bayesian variable selection in VAR forecasting, Working Papers (2015) View citations (1) (2015)

2015

9. Measuring spillover effects in Euro area financial markets: a disaggregate approach
   Empirical Economics, 2015, 49, (4), 1367-1400 View citations (18)
10. The economic value of flexible dynamic correlation models
    Economics Bulletin, 2015, 35, (1), 774-782

2014

11. Realized volatility models and alternative Value-at-Risk prediction strategies
    Economic Modelling, 2014, 40, (C), 101-116 View citations (28)

2013

12. The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting
    Journal of Forecasting, 2013, 32, (6), 561-576 View citations (16)
    See also Working Paper The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting, MPRA Paper (2011) View citations (3) (2011)

2012

13. A methodology for constructing a financial systemic stress index: An application to Greece
    Economic Modelling, 2012, 29, (4), 1228-1241 View citations (44)
14. Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios
    Journal of Banking & Finance, 2012, 36, (4), 1012-1027 View citations (394)
    See also Working Paper Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios, Working Papers (2010) View citations (43) (2010)
15. Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach
    Economics Bulletin, 2012, 32, (1), 981-991
16. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
    Applied Economics, 2012, 44, (27), 3533-3550 View citations (10)
    See also Working Paper Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility, Post-Print (2011) View citations (1) (2011)