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Details about Efthymios G. Pavlidis

Homepage:https://sites.google.com/site/etpavlidis/
Workplace:Department of Economics, Management School, Lancaster University, (more information at EDIRC)

Access statistics for papers by Efthymios G. Pavlidis.

Last updated 2020-11-11. Update your information in the RePEc Author Service.

Short-id: ppa542


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Working Papers

2020

  1. exuber: Recursive Right-Tailed Unit Root Testing with R
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads

2019

  1. Adaptive Dynamic Model Averaging with an Application to House Price Forecasting
    Papers, arXiv.org Downloads
  2. House Prices, (Un)Affordability and Systemic Risk
    Working Papers, Lancaster University Management School, Economics Department Downloads
  3. Speculative Bubbles in Segmented Markets
    Working Papers, Lancaster University Management School, Economics Department Downloads

2017

  1. 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 Downloads View citations (2)
    See also Journal Article in Economic Modelling (2019)
  2. Exuberance in the U.K. Regional Housing Markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (4)

2016

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

2014

  1. Episodes of exuberance in housing markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (10)

2013

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (13)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2016)

2012

  1. 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 Downloads View citations (16)
  2. Dynamic Estimation of Trade Costs from Real Exchange Rates
    Working Papers, Lancaster University Management School, Economics Department Downloads

2009

  1. Bubbles in House Prices and their Impact on Consumption: Evidence for the US
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (17)
  2. Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  3. Real Exchange Rates and Time-Varying Trade Costs
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2011)
  4. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2010)

Journal Articles

2020

  1. Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks
    Journal of International Money and Finance, 2020, 109, (C) Downloads View citations (1)

2019

  1. Detecting periods of exuberance: A look at the role of aggregation with an application to house prices
    Economic Modelling, 2019, 80, (C), 87-102 Downloads View citations (7)
    See also Working Paper (2017)

2018

  1. A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP
    Macroeconomic Dynamics, 2018, 22, (7), 1825-1843 Downloads
  2. Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 17 Downloads
  3. 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 Downloads
  4. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
    Journal of Money, Credit and Banking, 2018, 50, (5), 833-856 Downloads View citations (9)

2017

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

2016

  1. 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 Downloads View citations (27)
    See also Working Paper (2013)

2015

  1. Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation
    Economics Letters, 2015, 132, (C), 13-17 Downloads View citations (3)

2013

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

2012

  1. Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
    Journal of Forecasting, 2012, 31, (7), 580-595 View citations (3)

2011

  1. Real exchange rates and time-varying trade costs
    Journal of International Money and Finance, 2011, 30, (6), 1157-1179 Downloads View citations (8)
    See also Working Paper (2009)

2010

  1. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 1-40 Downloads View citations (11)
    See also Working Paper (2009)

Chapters

2008

  1. 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 Downloads
 
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