Elias Tzavalis

Available identifiers

zbMath Open tzavalis.eliasMaRDI QIDQ741321

List of research outcomes

Publication	Date of Publication	Type
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects	2023-09-05	Paper
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects	2023-03-07	Paper
Local power of panel unit root tests allowing for structural breaks	2022-06-08	Paper
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?	2020-10-21	Paper
Generalized fixed‐T panel unit root tests	2020-07-17	Paper
Testing for unit roots in short panels allowing for a structural break	2018-11-23	Paper
Pricing and hedging contingent claims using variance and higher order moment swaps	2018-11-19	Paper
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations	2018-10-12	Paper
Shifts in volatility driven by large stock market shocks	2018-08-13	Paper
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model	2018-07-03	Paper
Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors	2018-02-07	Paper
Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends	2016-02-29	Paper
A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence	2015-11-19	Paper
A fixed-\(T\) version of Breitung's panel data unit root test	2014-09-11	Paper
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models	2013-01-02	Paper
Detection of structural breaks in linear dynamic panel data models	2012-12-30	Paper
A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series	2011-03-30	Paper
Modeling structural breaks in economic relationships using large shocks	2010-06-11	Paper
Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion	2008-02-13	Paper
Chapter 7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series	2007-07-23	Paper
Panel data unit roots tests: the role of serial correlation and the time dimension	2006-10-30	Paper
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	2005-01-19	Paper
The Influence of VAR Dimensions on Estimator Biases	2002-05-28	Paper
On regression-based tests for persistence in logarithmic volatility models	2000-04-10	Paper
Inference for unit roots in dynamic panels where the time dimension is fixed	1999-01-01	Paper
The persistence in volatility of the US term premium 1970--1986	1997-02-27	Paper

Research outcomes over time

Doctoral students

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