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Modeling structural breaks in economic relationships using large shocks

Kapetanios, G.; Tzavalis, E. - In: Journal of Economic Dynamics and Control 34 (2010) 3, pp. 417-436

This paper introduces a new model of structural breaks in the coefficients of economic relationships which allows them to be driven by large past economic shocks. The breaks generated by these shocks can be taken to reflect stochastic changes in agents' decisions or beliefs triggered by...

Persistent link: https://www.econbiz.de/10008551019

Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects

Argyropoulos, Efthymios; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10011311197

On the determinants of NPLs : lessons from Greece

Charalambakis, Evangelos; Dendramis, Yiannis; Tzavalis, … - In: Political economy perspectives on the Greek crisis : …, (pp. 289-309). 2017

Persistent link: https://www.econbiz.de/10011916951

The EMU effects on asset market holdings and the recent financial crisis

Palaiodimos, George; Tzavalis, Elias - In: International review of financial analysis 42 (2015), pp. 153-161

Persistent link: https://www.econbiz.de/10011573382

A comparison of investors' sentiments and risk premium effects on valuing shares

Karavias, Yiannis; Spilioti, Stella; Tzavalis, Elias - In: Finance research letters 17 (2016), pp. 1-6

Persistent link: https://www.econbiz.de/10011596194

Shifts in volatility driven by large stock market shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147

Persistent link: https://www.econbiz.de/10011587216

Retrieving risk neutral moments and expected quadratic variation from option prices

Rompolis, Leonidas S.; Tzavalis, Elias - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 955-1002

Persistent link: https://www.econbiz.de/10011796976

Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Symeonides, Spyridon D.; Karavias, Yiannis; Tzavalis, Elias - In: Journal of time series econometrics 9 (2017) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10011671115

Forecasting economic activity from yield curve factors

Argyropoulos, Efthymios; Tzavalis, Elias - In: The North American journal of economics and finance : a … 36 (2016), pp. 293-311

Persistent link: https://www.econbiz.de/10011672685

Real term structure forecasts of consumption growth

Argyropoulos, Efthymios; Tzavalis, Elias - In: Journal of empirical finance 33 (2015), pp. 208-222

Persistent link: https://www.econbiz.de/10011556880