Details about Elias Tzavalis

Homepage:	http://www.aueb.gr/users/etzavalis/
Postal address:	School of Economics Department of Economics Athens University of Economics & Business Athens 104 34 Greece
Workplace:	Department of Economics, Athens University of Economics and Business (AUEB), (more information at EDIRC)

Access statistics for papers by Elias Tzavalis.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: ptz13

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Working Papers

2023

1. Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence
   Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)

2021

2. Panel Unit Root Tests with Structural Breaks
   London Stata Conference 2021, Stata Users Group View citations (1)
   Also in Discussion Papers, Department of Economics, University of Birmingham (2021) View citations (1)
   See also Journal Article Panel unit-root tests with structural breaks, Stata Journal, StataCorp LLC (2022) View citations (8) (2022)

2020

3. Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals
   Discussion Papers, Department of Economics, University of Birmingham
   See also Journal Article Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals, Review of Quantitative Finance and Accounting, Springer (2021) View citations (1) (2021)

2019

4. Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach
   Working Paper Series, European Central Bank View citations (4)

2018

5. Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier
   Working Paper Series, European Central Bank

2017

6. On the determinants of NPLS: lessons from Greece
   Working Papers, Bank of Greece View citations (10)

2015

7. A comparison of investors' sentiments and risk premium effects on valuing shares
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
   See also Journal Article A comparison of investors’ sentiments and risk premium effects on valuing shares, Finance Research Letters, Elsevier (2016) View citations (3) (2016)

2014

8. A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
9. Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
   See also Journal Article Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors, Journal of Time Series Econometrics, De Gruyter (2017) (2017)
10. Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)

2013

11. Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates
    Working Papers, Athens University Of Economics and Business, Department of Economics
12. The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks
    MPRA Paper, University Library of Munich, Germany
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2013)
13. The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components
    Working Papers, Athens University Of Economics and Business, Department of Economics

2012

14. Generalized fixed-T panel unit root tests allowing for structural breaks
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (2)
15. Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks
    MPRA Paper, University Library of Munich, Germany View citations (2)
16. On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors
    MPRA Paper, University Library of Munich, Germany
17. The local power of fixed-T panel unit root tests allowing for serially correlated errors
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics

2011

18. Unveiling the monetary policy rule in euro area
    Working Papers, Bank of Greece View citations (2)

2006

19. Stochastic Volatility Driven by Large Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)

2005

20. Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
21. Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension
    Working Papers, Queen Mary University of London, School of Economics and Finance

2004

22. A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models
    Working Papers, Queen Mary University of London, School of Economics and Finance
23. Detection of Structural Breaks in Linear Dynamic Panel Data Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (13)
    See also Journal Article Detection of structural breaks in linear dynamic panel data models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (34) (2012)
24. Is the Currency Risk Priced in Equity Markets?
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)

2003

25. Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (13)

2002

26. Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (13)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2002) View citations (13)

2000

27. Option Pricing under Discrete Shifts in Stock Returns
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
28. Option Pricing with a Dividend General Equilibrium Model
    Working Papers, Queen Mary University of London, School of Economics and Finance

1998

29. Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors
    Discussion Papers, University of Exeter, Department of Economics
30. Inflation and Exchange Rate Regimes in Mexico
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article Inflation and Exchange Rate Regimes in Mexico, Review of Development Economics, Wiley Blackwell (2000) View citations (5) (2000)

1997

31. Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends
    Discussion Papers, University of Exeter, Department of Economics
32. Tests of Structural Stability of Risk Premia and Returns Relationship
    Discussion Papers, University of Exeter, Department of Economics
33. Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure?
    Discussion Papers, University of Exeter, Department of Economics

1996

34. Inference for Unit Roots in Dynamic Panels
    Discussion Papers, University of Exeter, Department of Economics View citations (9)
35. Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece, Economic Modelling, Elsevier (1998) View citations (15) (1998)

1995

36. Forecasting Inflation from the Term Structure
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
    See also Journal Article Forecasting inflation from the term structure, Journal of Empirical Finance, Elsevier (1996) View citations (35) (1996)
37. Regression-Based Tests for Persistence in Conditional Variances
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1994

38. The Asymptotic Influence of VAR Dimension on Estimator Biases
    Discussion Papers, University of Exeter, Department of Economics
39. The Persistence in Volatility of the US Term Premium 1970-1986
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article The persistence in volatility of the US term premium 1970-1986, Economics Letters, Elsevier (1995) View citations (16) (1995)
40. The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
    Also in Discussion Papers, Department of Economics, University of York View citations (1)

Undated

41. Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure
    Discussion Papers, Department of Economics, University of York View citations (1)
42. The Influence of VAR Dimensions on Estimator Biases
    Discussion Papers, Department of Economics, University of York View citations (10)
    See also Journal Article The Influence of VAR Dimensions on Estimator Biases, Econometrica, Econometric Society (1999) View citations (42) (1999)

Journal Articles

2024

1. The forward premium anomaly and the currency carry trade hypothesis
   The Quarterly Review of Economics and Finance, 2024, 95, (C), 203-218

2023

2. Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (2), 171-198
3. Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach
   Oxford Bulletin of Economics and Statistics, 2023, 85, (1), 123-158
4. Improving variance forecasts: The role of Realized Variance features
   International Journal of Forecasting, 2023, 39, (3), 1221-1237

2022

5. Missing Values in Panel Data Unit Root Tests
   Econometrics, 2022, 10, (1), 1-11
6. Panel unit-root tests with structural breaks
   Stata Journal, 2022, 22, (3), 664-678 View citations (8)
   See also Working Paper Panel Unit Root Tests with Structural Breaks, London Stata Conference 2021 (2021) View citations (1) (2021)
7. Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects
   International Review of Economics & Finance, 2022, 79, (C), 694-715 View citations (1)

2021

8. Can country-specific interest rate factors explain the forward premium anomaly?
   Journal of Economics and Finance, 2021, 45, (2), 252-269 View citations (2)
9. Dealing With Endogeneity in Threshold Models Using Copulas
   Journal of Business & Economic Statistics, 2021, 39, (1), 166-178 View citations (9)
10. Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals
    Review of Quantitative Finance and Accounting, 2021, 56, (4), 1593-1621 View citations (1)
    See also Working Paper Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals, Discussion Papers (2020) (2020)
11. The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 785-796

2020

12. Predicting default risk under asymmetric binary link functions
    International Journal of Forecasting, 2020, 36, (3), 1039-1056 View citations (7)

2019

13. Generalized fixed‐T panel unit root tests
    Scandinavian Journal of Statistics, 2019, 46, (4), 1227-1251 View citations (4)

2018

14. Credit risk modelling under recessionary and financially distressed conditions
    Journal of Banking & Finance, 2018, 91, (C), 160-175 View citations (12)
15. Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
    Statistics & Probability Letters, 2018, 135, (C), 54-59

2017

16. Local power of panel unit root tests allowing for structural breaks
    Econometric Reviews, 2017, 36, (10), 1123-1156 View citations (10)
17. On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks
    Econometrics and Statistics, 2017, 4, (C), 70-90 View citations (3)
18. Pricing and hedging contingent claims using variance and higher order moment swaps
    Quantitative Finance, 2017, 17, (4), 531-550 View citations (1)
19. Retrieving risk neutral moments and expected quadratic variation from option prices
    Review of Quantitative Finance and Accounting, 2017, 48, (4), 955-1002 View citations (3)
20. Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors
    Journal of Time Series Econometrics, 2017, 9, (1), 41
    See also Working Paper Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors, Discussion Papers (2014) (2014)

2016

21. A comparison of investors’ sentiments and risk premium effects on valuing shares
    Finance Research Letters, 2016, 17, (C), 1-6 View citations (3)
    See also Working Paper A comparison of investors' sentiments and risk premium effects on valuing shares, Discussion Papers (2015) (2015)
22. Forecasting economic activity from yield curve factors
    The North American Journal of Economics and Finance, 2016, 36, (C), 293-311 View citations (13)
23. Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends
    Journal of Time Series Analysis, 2016, 37, (2), 222-239 View citations (13)

2015

24. Real term structure forecasts of consumption growth
    Journal of Empirical Finance, 2015, 33, (C), 208-222 View citations (2)
25. Shifts in volatility driven by large stock market shocks
    Journal of Economic Dynamics and Control, 2015, 55, (C), 130-147 View citations (24)
26. Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 49-70 View citations (5)
27. The EMU effects on asset market holdings and the recent financial crisis
    International Review of Financial Analysis, 2015, 42, (C), 153-161 View citations (2)
28. Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes
    Economica, 2015, 82, (328), 912-937 View citations (1)

2014

29. A fixed-T version of Breitung’s panel data unit root test
    Economics Letters, 2014, 124, (1), 83-87 View citations (4)
30. Are regime-shift sources of risk priced in the market?
    Journal of Empirical Finance, 2014, 28, (C), 151-170 View citations (4)
31. Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
    Journal of Forecasting, 2014, 33, (7), 515-531 View citations (10)
32. Level shifts in stock returns driven by large shocks
    Journal of Empirical Finance, 2014, 29, (C), 41-51 View citations (7)
33. Testing for unit roots in short panels allowing for a structural break
    Computational Statistics & Data Analysis, 2014, 76, (C), 391-407 View citations (44)

2012

34. A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
    Journal of Applied Statistics, 2012, 39, (9), 1975-1990 View citations (2)
35. Detection of structural breaks in linear dynamic panel data models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3020-3034 View citations (34)
    See also Working Paper Detection of Structural Breaks in Linear Dynamic Panel Data Models, Working Papers (2004) View citations (13) (2004)

2011

36. A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
    Econometric Reviews, 2011, 30, (2), 208-249 View citations (5)
37. MONETARY POLICY RULES AND BUSINESS CYCLE CONDITIONS
    Manchester School, 2011, 79, (s2), 73-97 View citations (5)

2010

38. Modeling structural breaks in economic relationships using large shocks
    Journal of Economic Dynamics and Control, 2010, 34, (3), 417-436 View citations (37)
39. RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS
    Journal of Financial Research, 2010, 33, (2), 125-151 View citations (9)

2008

40. Recovering Risk Neutral Densities from Option Prices: A New Approach
    Journal of Financial and Quantitative Analysis, 2008, 43, (4), 1037-1053 View citations (20)

2006

41. Structural Changes in Expected Stock Returns Relationships: Evidence from ASE
    Journal of Business Finance & Accounting, 2006, 33, (9‐10), 1610-1628 View citations (3)

2005

42. Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models
    Economics Letters, 2005, 88, (1), 91-96 View citations (8)

2004

43. Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
    Econometric Reviews, 2004, 23, (2), 149-166 View citations (6)
44. The term premium and the puzzles of the expectations hypothesis of the term structure
    Economic Modelling, 2004, 21, (1), 73-93 View citations (8)

2003

45. Rejoinder to Comment by Doornik, Nielsen, and Rothenberg
    Econometrica, 2003, 71, (1), 385-386

2001

46. Fiscal policy and politics: theory and evidence from Greece 1960-1997
    Economic Modelling, 2001, 18, (2), 253-268 View citations (13)

2000

47. Inflation and Exchange Rate Regimes in Mexico
    Review of Development Economics, 2000, 4, (1), 87-100 View citations (5)
    See also Working Paper Inflation and Exchange Rate Regimes in Mexico, Discussion Papers (1998) (1998)

1999

48. A common shift in real interest rates across countries
    Applied Financial Economics, 1999, 9, (4), 365-369 View citations (4)
49. Inference for unit roots in dynamic panels where the time dimension is fixed
    Journal of Econometrics, 1999, 91, (2), 201-226 View citations (668)
50. On regression-based tests for persistence in logarithmic volatility models
    Econometric Reviews, 1999, 18, (4), 441-448 View citations (10)
51. The Influence of VAR Dimensions on Estimator Biases
    Econometrica, 1999, 67, (1), 163-182 View citations (42)
    See also Working Paper The Influence of VAR Dimensions on Estimator Biases, Discussion Papers View citations (10)

1998

52. A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests
    International Journal of Finance & Economics, 1998, 3, (3), 229-39 View citations (19)
53. Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece
    Economic Modelling, 1998, 16, (1), 71-86 View citations (15)
    See also Working Paper Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece, Discussion Papers (1996) (1996)

1997

54. Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
    Journal of Money, Credit and Banking, 1997, 29, (3), 364-80 View citations (87)

1996

55. Forecasting inflation from the term structure
    Journal of Empirical Finance, 1996, 3, (1), 103-122 View citations (35)
    See also Working Paper Forecasting Inflation from the Term Structure, Discussion Papers (1995) View citations (1) (1995)

1995

56. The persistence in volatility of the US term premium 1970-1986
    Economics Letters, 1995, 49, (4), 381-389 View citations (16)
    See also Working Paper The Persistence in Volatility of the US Term Premium 1970-1986, Discussion Papers (1994) (1994)

Edited books

2012

1. The Refinement of Econometric Estimation and Test Procedures
   Cambridge Books, Cambridge University Press

2007

2. The Refinement of Econometric Estimation and Test Procedures
   Cambridge Books, Cambridge University Press View citations (80)

Chapters

2021

1. What Drives the Default Risk of Restructured Loans
   Springer

2006

2. Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 175-198