Details about Dimitrios D. Thomakos

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Workplace:	Department of Business Administration, National and Kapodistrian University of Athens, (more information at EDIRC)

Access statistics for papers by Dimitrios D. Thomakos.

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Short-id: pth311

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Working Papers

2023

1. Insights into the accuracy of social scientists' forecasts of societal change
   Other publications TiSEM, Tilburg University, School of Economics and Management
2. On the Predictability of the DJIA and S&P500 Indices
   Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

2022

3. Forecasting: theory and practice
   Papers, arXiv.org View citations (70)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)

2019

4. Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis
   Working Papers, Banco de Portugal, Economics and Research Department View citations (9)
   See also Journal Article Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis, International Journal of Forecasting, Elsevier (2019) View citations (6) (2019)
5. Return Signal Momentum
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School
   See also Journal Article Return signal momentum, Journal of Banking & Finance, Elsevier (2021) View citations (4) (2021)

2016

6. Explaining Non-Performing Loans in Greece: A Comparative Study on the Effects of Recession and Banking Practices
   GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE View citations (11)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (11)
7. The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis
   GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE View citations (4)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (4)
   See also Chapter The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis, Palgrave Macmillan Studies in Banking and Financial Institutions, Palgrave Macmillan (2017) View citations (1) (2017)

2013

8. Covariance Averaging for Improved Estimation and Portfolio Allocation
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article Covariance averaging for improved estimation and portfolio allocation, Financial Markets and Portfolio Management, Springer (2015) (2015)
9. Forecasting multivariate time series with the Theta Method
   Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales)
   See also Journal Article Forecasting Multivariate Time Series with the Theta Method, Journal of Forecasting, John Wiley & Sons, Ltd. (2015) View citations (6) (2015)
10. Growth, De-Regulation and Rent-Seeking in Post-War British Economy
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) (2013)
    See also Journal Article Growth, deregulation and rent seeking in post-war British economy, Applied Economics, Taylor & Francis Journals (2016) (2016)
11. Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach
    Economics Discussion Papers, Department of Economics, University of Reading
12. The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    See also Journal Article The Baltic Dry Index: cyclicalities, forecasting and hedging strategies, Empirical Economics, Springer (2017) View citations (15) (2017)

2012

13. Can Greece be saved? Current Account, fiscal imbalances and competitiveness
    GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE View citations (7)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) View citations (6)

2011

14. Improving forecasting performance by window and model averaging
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)

2009

15. Economic Value of Realized Covariance Forecasts: The European Case
    Working Papers, University of Peloponnese, Department of Economics
16. Realized Volatility and Jumps in the Athens Stock Exchange
    Working Papers, University of Peloponnese, Department of Economics
    See also Journal Article Realized volatility and jumps in the Athens Stock Exchange, Applied Financial Economics, Taylor & Francis Journals (2012) View citations (5) (2012)
17. The Theta Model in the Presence of a Unit Root Some new results on “optimal” theta forecasts
    Working Papers, University of Peloponnese, Department of Economics
18. Theta Model Forecasts for Financial Time Series: A Case Study in the S&P500
    Working Papers, University of Peloponnese, Department of Economics View citations (1)

2008

19. A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift
    Working Papers, University of Peloponnese, Department of Economics
20. Consumer Confidence and Elections
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, University of Peloponnese, Department of Economics (2007)
    Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (2)
21. NoVaS Transformations: Flexible Inference for Volatility Forecasting
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007)
    Working Papers, University of Peloponnese, Department of Economics (2007)
22. Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration
    Working Paper series, Rimini Centre for Economic Analysis View citations (5)
    Also in Working Papers, University of Peloponnese, Department of Economics (2008)
23. Optimal Linear Filtering, Smoothing and Trend Extraction for m-period Differences of Processes with a Unit Root
    Working Papers, University of Peloponnese, Department of Economics
24. The Multinational Corporation and the Global Sourcing of Knowledge: Remodeling Absorptive Capacity
    Papers, Economic and Social Research Institute (ESRI) View citations (3)
    Also in Working Papers, University of Peloponnese, Department of Economics (2007)
25. The Role of Realized Volatility in the Athens Stock Exchange
    Working Papers, University of Peloponnese, Department of Economics
    See also Journal Article The Role of Realised Volatility in the Athens Stock Exchange, Multinational Finance Journal, Multinational Finance Journal (2011) View citations (4) (2011)

2007

26. 'Optimal' Probabilistic Predictions for Financial Returns
    Working Papers, University of Peloponnese, Department of Economics
27. Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation
    Working Paper series, Rimini Centre for Economic Analysis
28. Inflation Dynamics and the Cross-Sectional Distribution of Prices in the E.U. Periphery
    Working Papers, University of Peloponnese, Department of Economics
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007)
29. Information in Balance Sheets about Future Stock Returns: Evidence from Net Operating Assets
    Working Papers, University of Peloponnese, Department of Economics
30. Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Information in balance sheets for future stock returns: Evidence from net operating assets, International Review of Financial Analysis, Elsevier (2011) View citations (5) (2011)
31. The Implications of Retained and Distributed Earnings for Future Profitability and Market Mispricing
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)

2006

32. Forecasting industry-level CPI and PPI inflation: does exchange rate pass-through matter?
    Working Papers, Deakin University, Department of Economics
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
    See also Journal Article Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?, International Journal of Forecasting, Elsevier (2008) View citations (4) (2008)
33. Realized Volatility and Asymmetries in the A.S.E. Returns
    Finance, University Library of Munich, Germany
    Also in Finance, University Library of Munich, Germany (2006)
34. Trade, openness and domestic conflict: an empirical investigation for Latin America
    Working Papers, Deakin University, Department of Economics
    See also Journal Article Trade, openness, and domestic conflict: An empirical investigation for Latin America, Economics of Peace and Security Journal, EPS Publishing (2007) View citations (2) (2007)

Journal Articles

2024

1. Introducing the GVAR-GARCH model: Evidence from financial markets
   Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) View citations (1)

2023

2. Climate change economics and the determinants of carbon emissions’ futures returns: A regime-driven ARDL model
   Finance Research Letters, 2023, 58, (PC) View citations (2)

2022

3. Forecasting: theory and practice
   International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
   See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)

2021

4. Return signal momentum
   Journal of Banking & Finance, 2021, 124, (C) View citations (4)
   See also Working Paper Return Signal Momentum, QBS Working Paper Series (2019) (2019)
5. Superforecasting reality check: Evidence from a small pool of experts and expedited identification
   European Journal of Operational Research, 2021, 289, (1), 107-117 View citations (3)

2020

6. Automatic time series modeling and forecasting: A replication case study of forecasting real GDP, the unemployment rate and the impact of leading economic indicators
   Cogent Economics & Finance, 2020, 8, (1), 1759483
7. Model Free Inference on Multivariate Time Series with Conditional Correlations
   Stats, 2020, 3, (4), 1-26
8. Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization
   Stats, 2020, 3, (3), 1-18
9. The Effects of Corporate Bonds on Employment: Early Evidence from Greece
   Review of Economic Analysis, 2020, 12, (2), 235-253
10. Using singular spectrum analysis for inference on seasonal time series with seasonal unit roots
    International Journal of Computational Economics and Econometrics, 2020, 10, (2), 149-182

2019

11. Adaptive learning forecasting, with applications in forecasting agricultural prices
    International Journal of Forecasting, 2019, 35, (4), 1356-1369 View citations (3)
12. Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis
    International Journal of Forecasting, 2019, 35, (4), 1263-1272 View citations (6)
    See also Working Paper Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis, Working Papers (2019) View citations (9) (2019)
13. Non-nested model selection based on the quantiles and it’s application in time series
    Communications in Statistics - Theory and Methods, 2019, 48, (2), 332-353

2018

14. Robust model rankings of forecasting performance
    Journal of Forecasting, 2018, 37, (6), 676-690 View citations (4)
15. “Regulate me not”: The regulatory failures of taxation: A tale from Greece
    Managerial and Decision Economics, 2018, 39, (8), 863-871

2017

16. EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues
    International Journal of Forecasting, 2017, 33, (1), 214-229 View citations (7)
17. Managerial discretion, net operating assets and the cross-section of stock returns: Evidence from European countries
    Journal of International Financial Markets, Institutions and Money, 2017, 47, (C), 188-210 View citations (3)
18. The Baltic Dry Index: cyclicalities, forecasting and hedging strategies
    Empirical Economics, 2017, 52, (1), 255-282 View citations (15)
    See also Working Paper The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies, Working Paper series (2013) View citations (2) (2013)

2016

19. Carbon intensity as a proxy for environmental performance and the informational content of the EPI
    Energy Policy, 2016, 94, (C), 179-190 View citations (11)
20. European Integration and Competitiveness of EU New Member States
    European Journal of Economics and Business Studies Articles, 2016, 2
21. Growth, deregulation and rent seeking in post-war British economy
    Applied Economics, 2016, 48, (18), 1719-1729
    See also Working Paper Growth, De-Regulation and Rent-Seeking in Post-War British Economy, Working Paper series (2013) (2013)
22. Strategic Management of Small Enterprises in Commune of Peja
    European Journal of Economics and Business Studies Articles, 2016, 2

2015

23. An improved moving average technical trading rule
    Physica A: Statistical Mechanics and its Applications, 2015, 428, (C), 458-469 View citations (6)
24. Covariance averaging for improved estimation and portfolio allocation
    Financial Markets and Portfolio Management, 2015, 29, (1), 31-59
    See also Working Paper Covariance Averaging for Improved Estimation and Portfolio Allocation, Working Paper series (2013) (2013)
25. Forecasting Multivariate Time Series with the Theta Method
    Journal of Forecasting, 2015, 34, (3), 220-229 View citations (6)
    See also Working Paper Forecasting multivariate time series with the Theta Method, Working Papers (2013) (2013)
26. Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities
    Quantitative Finance, 2015, 15, (2), 285-298 View citations (1)

2014

27. “Out of Sync”: The Breakdown of Economic Sentiment Cycles in the EU
    Review of International Economics, 2014, 22, (1), 131-150 View citations (4)

2013

28. Corporate financing activities, fundamentals to price ratios and the cross section of stock returns
    Journal of Economic Studies, 2013, 40, (4), 493-514
29. Nonparametric realized volatility estimation in the international equity markets
    International Review of Financial Analysis, 2013, 28, (C), 34-45 View citations (3)

2012

30. Econometric testing of the real option hypothesis: evidence from investment in oil tankers
    Empirical Economics, 2012, 42, (1), 121-145 View citations (3)
31. External Financing, Growth and Stock Returns
    European Financial Management, 2012, 18, (5), 790-815
32. Realized volatility and jumps in the Athens Stock Exchange
    Applied Financial Economics, 2012, 22, (2), 97-112 View citations (5)
    See also Working Paper Realized Volatility and Jumps in the Athens Stock Exchange, Working Papers (2009) (2009)

2011

33. Accruals and the performance of stock returns following external financing activities
    The British Accounting Review, 2011, 43, (3), 214-229 View citations (3)
34. Information in balance sheets for future stock returns: Evidence from net operating assets
    International Review of Financial Analysis, 2011, 20, (5), 269-282 View citations (5)
    See also Working Paper Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets, Working Paper series (2007) (2007)
35. The Role of Realised Volatility in the Athens Stock Exchange
    Multinational Finance Journal, 2011, 15, (1-2), 87-124 View citations (4)
    See also Working Paper The Role of Realized Volatility in the Athens Stock Exchange, Working Papers (2008) (2008)

2010

36. 'Optimal' probabilistic and directional predictions of financial returns
    Journal of Empirical Finance, 2010, 17, (1), 102-119 View citations (1)
37. The implications of retained and distributed earnings for future profitability and stock returns
    Review of Accounting and Finance, 2010, 9, (4), 395-423

2008

38. Exchange Rate Uncertainty, Sociopolitical Instability and Private Investment: Empirical Evidence from Latin America
    Review of Development Economics, 2008, 12, (2), 372-385 View citations (11)
39. Exchange rate pass-through and relative prices: An industry-level empirical investigation
    Journal of International Money and Finance, 2008, 27, (7), 1135-1160 View citations (7)
40. Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?
    International Journal of Forecasting, 2008, 24, (1), 134-150 View citations (4)
    See also Working Paper Forecasting industry-level CPI and PPI inflation: does exchange rate pass-through matter?, Working Papers (2006) (2006)
41. Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns
    Journal of Futures Markets, 2008, 28, (9), 815-844 View citations (7)

2007

42. Global FDI Convergence Patterns?: Evidence from International Comparisons
    Journal of Economic Integration, 2007, 22, 1-25 View citations (2)
43. Trade, openness, and domestic conflict: An empirical investigation for Latin America
    Economics of Peace and Security Journal, 2007, 2, (2), 77-80 View citations (2)
    See also Working Paper Trade, openness and domestic conflict: an empirical investigation for Latin America, Working Papers (2006) (2006)

2006

44. Can we obtain realistic parameter estimates for the `protection for sale' model?
    Canadian Journal of Economics, 2006, 39, (1), 187-210 View citations (32)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2006, 39, (1), 187-210 (2006) View citations (7)
    See also Chapter Can we obtain realistic parameter estimates for the ‘protection for sale’ model?, World Scientific Book Chapters, 2016, 175-198 (2016) (2016)

2005

45. Firm's R & D Behavior Under Rational Expectations
    Indian Economic Review, 2005, 40, (2), 145-165

2004

46. Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance
    International Journal of Forecasting, 2004, 20, (1), 53-67 View citations (3)
47. Protection versus Promotion: An Empirical Investigation
    Economics and Politics, 2004, 16, (2), 147-162 View citations (3)
    See also Chapter PROTECTION VERSUS PROMOTION: AN EMPIRICAL INVESTIGATION, World Scientific Book Chapters, 2016, 221-236 (2016) (2016)

2003

48. Economic integration, market discipline and productivity growth in Spain
    The Journal of International Trade & Economic Development, 2003, 12, (4), 359-375
49. Realized volatility in the futures markets
    Journal of Empirical Finance, 2003, 10, (3), 321-353 View citations (75)

2002

50. "Protection For Sale" In A Developing Country: Democracy Vs. Dictatorship
    The Review of Economics and Statistics, 2002, 84, (3), 497-508 View citations (136)
    See also Chapter “PROTECTION FOR SALE” IN A DEVELOPING COUNTRY: DEMOCRACY VS. DICTATORSHIP, World Scientific Book Chapters, 2016, 163-174 (2016) View citations (7) (2016)
51. Modeling daily realized futures volatility with singular spectrum analysis
    Physica A: Statistical Mechanics and its Applications, 2002, 312, (3), 505-519 View citations (14)

2001

52. Protection for sale and political regimes: Empirical evidence
    International Advances in Economic Research, 2001, 7, (2), 270-270

1998

53. Structural VAR, MARMA and open economy models
    International Journal of Forecasting, 1998, 14, (2), 187-198 View citations (7)

Edited books

2017

1. Taxation in Crisis
   Palgrave Macmillan Studies in Banking and Financial Institutions, Palgrave Macmillan View citations (5)

2015

2. A Financial Crisis Manual
   Palgrave Macmillan Studies in Banking and Financial Institutions, Palgrave Macmillan View citations (1)

Chapters

2021

1. Nearest Neighbor Forecasting Using Sparse Data Representation
   Springer

2020

2. Foreign Exchange Rate Predictability: Seek and Ye Shall Find It
   Chapter 20 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 511-556

2019

3. Forecasting Analytics
   Springer

2017

4. Tax Evasion, Tax Administration, and the Impact of Growth: Tax Enforcement as Regulatory Failure in a High Tax Rates, High Tax Evasion, and Low-Growth Economic Environment
   Palgrave Macmillan View citations (4)
5. The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis
   Palgrave Macmillan View citations (1)
   See also Working Paper The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis, Hellenic Observatory, LSE (2016) View citations (4) (2016)
6. The Double Trap: Taxes and Subsidies as Determinants of Economic Growth and the End of the Downward Growth Spiral in Greece
   Palgrave Macmillan View citations (1)

2016

7. Can we obtain realistic parameter estimates for the ‘protection for sale’ model?
   Chapter 10 in The Political Economy of Trade Policy Theory, Evidence and Applications, 2016, pp 175-198
   See also Journal Article Can we obtain realistic parameter estimates for the `protection for sale' model?, Canadian Economics Association (2006) View citations (32) (2006)
8. PROTECTION VERSUS PROMOTION: AN EMPIRICAL INVESTIGATION
   Chapter 12 in The Political Economy of Trade Policy Theory, Evidence and Applications, 2016, pp 221-236
   See also Journal Article Protection versus Promotion: An Empirical Investigation, Wiley Blackwell (2004) View citations (3) (2004)
9. “PROTECTION FOR SALE” IN A DEVELOPING COUNTRY: DEMOCRACY VS. DICTATORSHIP
   Chapter 9 in The Political Economy of Trade Policy Theory, Evidence and Applications, 2016, pp 163-174 View citations (7)
   See also Journal Article "Protection For Sale" In A Developing Country: Democracy Vs. Dictatorship, MIT Press (2002) View citations (136) (2002)

2015

10. Afterword: The Road Ahead
    Palgrave Macmillan
11. An Empirical Study on Greece’s Current Account Determinants Before and After the Outbreak of the Global Financial Crisis
    Palgrave Macmillan
12. Greek Fiscal Multipliers Revisited: Government Spending Cuts vs. Tax Hikes and the Role of Public Investment Expenditure
    Palgrave Macmillan
13. Introduction
    Palgrave Macmillan

2011

14. Multinational Enterprise and Subsidiaries’ Absorptive Capacity and Global Knowledge Sourcing
    Springer

2008

15. Chapter 11 Financial Time Series and Volatility Prediction using NoVaS Transformations
    A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 417-447