Details about Efthymios G. Pavlidis

Access statistics for papers by Efthymios G. Pavlidis.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: ppa542

Working Papers

2024

1. Bubbles and Crashes
   Working Papers, Lancaster University Management School, Economics Department

2021

2. exuber: Recursive Right-Tailed Unit Root Testing with R
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)

2019

3. Adaptive Dynamic Model Averaging with an Application to House Price Forecasting
   Papers, arXiv.org View citations (3)
4. House Prices, (Un)Affordability and Systemic Risk
   Working Papers, Lancaster University Management School, Economics Department
   See also Journal Article House prices, (un)affordability and systemic risk, New Zealand Economic Papers, Taylor & Francis Journals (2021) (2021)
5. Speculative Bubbles in Segmented Markets
   Working Papers, Lancaster University Management School, Economics Department View citations (1)

2017

6. Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (2)
   See also Journal Article Detecting periods of exuberance: A look at the role of aggregation with an application to house prices, Economic Modelling, Elsevier (2019) View citations (11) (2019)
7. Exuberance in the U.K. Regional Housing Markets
   Working Papers, Lancaster University Management School, Economics Department View citations (5)

2016

8. Modeling changes in U.S. monetary policy
   Working Papers, Lancaster University Management School, Economics Department

2014

9. Episodes of exuberance in housing markets
   Working Papers, Lancaster University Management School, Economics Department View citations (14)

2013

10. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (12)
    See also Journal Article Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun, The Journal of Real Estate Finance and Economics, Springer (2016) View citations (62) (2016)

2012

11. A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
    Working Papers, Lancaster University Management School, Economics Department View citations (20)
12. Dynamic Estimation of Trade Costs from Real Exchange Rates
    Working Papers, Lancaster University Management School, Economics Department

2009

13. Bubbles in House Prices and their Impact on Consumption: Evidence for the US
    Working Papers, Lancaster University Management School, Economics Department View citations (17)
14. Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
    Working Papers, Lancaster University Management School, Economics Department View citations (1)
15. Real Exchange Rates and Time-Varying Trade Costs
    Working Papers, Lancaster University Management School, Economics Department View citations (2)
    See also Journal Article Real exchange rates and time-varying trade costs, Journal of International Money and Finance, Elsevier (2011) View citations (10) (2011)
16. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Working Papers, Lancaster University Management School, Economics Department View citations (4)
    See also Journal Article Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2010) View citations (17) (2010)

Journal Articles

2023

1. Dynamic linear models with adaptive discounting
   International Journal of Forecasting, 2023, 39, (4), 1925-1944

2021

2. House prices, (un)affordability and systemic risk
   New Zealand Economic Papers, 2021, 55, (1), 105-123
   See also Working Paper House Prices, (Un)Affordability and Systemic Risk, Working Papers (2019) (2019)

2020

3. Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks
   Journal of International Money and Finance, 2020, 109, (C) View citations (4)

2019

4. Detecting periods of exuberance: A look at the role of aggregation with an application to house prices
   Economic Modelling, 2019, 80, (C), 87-102 View citations (11)
   See also Working Paper Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices, Globalization Institute Working Papers (2017) View citations (2) (2017)

2018

5. A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP
   Macroeconomic Dynamics, 2018, 22, (7), 1825-1843
6. Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
   Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 17 View citations (1)
7. The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
   Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2), 8
8. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
   Journal of Money, Credit and Banking, 2018, 50, (5), 833-856 View citations (26)

2017

9. TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
   International Economic Review, 2017, 58, (4), 1191-1226 View citations (18)

2016

10. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    The Journal of Real Estate Finance and Economics, 2016, 53, (4), 419-449 View citations (62)
    See also Working Paper Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun, Globalization Institute Working Papers (2013) View citations (12) (2013)

2015

11. Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation
    Economics Letters, 2015, 132, (C), 13-17 View citations (4)

2013

12. Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 297-312 View citations (7)
13. Nonlinear dynamics in economics and finance and unit root testing
    The European Journal of Finance, 2013, 19, (6), 572-588

2012

14. Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
    Journal of Forecasting, 2012, 31, (7), 580-595 View citations (5)

2011

15. Real exchange rates and time-varying trade costs
    Journal of International Money and Finance, 2011, 30, (6), 1157-1179 View citations (10)
    See also Working Paper Real Exchange Rates and Time-Varying Trade Costs, Working Papers (2009) View citations (2) (2009)

2010

16. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 40 View citations (17)
    See also Working Paper Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form, Working Papers (2009) View citations (4) (2009)

Chapters

2009

1. The Econometrics of Exchange Rates
   Palgrave Macmillan View citations (3)

2008

2. TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION
   Chapter 8 in Advances In Doctoral Research In Management, 2008, pp 151-174