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Inference for unit roots in dynamic panels in the presence of deterministic trends

Harris, Richard D. F.; Tzavalis, Elias - 1997

Persistent link: https://www.econbiz.de/10000966505

[Rezension von: Lo, Andrew W., ...,, A non-random walk down Wall Street]

Tzavalis, Elias - In: Economica 69 (2002), pp. 179

Persistent link: https://www.econbiz.de/10001647456

Testing for unit roots in dynamic panels in the presence of a deterministic trend : re-examing the unit root hypothesis for real stock prices and dividends

Harris, Richard D. F.; Tzavalis, Elias - In: Econometric reviews 23 (2004) 2, pp. 149-166

Persistent link: https://www.econbiz.de/10002131166

Level shifts in stock returns driven by large shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51

Persistent link: https://www.econbiz.de/10011300506

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

Shifts in Volatility Driven by Large Stock Market Shocks

Dendramis, Yiannis - 2012

This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market returns, referred to as structural breaks. These shifts are endogenously driven by large return shocks (innovations), reflecting large pieces of market news. These shocks are...

Persistent link: https://www.econbiz.de/10013107993

Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends

Harris, Richard D. F.; Tzavalis, Elias - 1998

Persistent link: https://www.econbiz.de/10014072144

Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals

Karavias, Yiannis; Spilioti, Stella; Tzavalis, Elias - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1593-1621

Persistent link: https://www.econbiz.de/10012549879

Improving variance forecasts : the role of Realized Variance features

Papantonis, Ioannis; Rompolis, Leonidas; Tzavalis, Elias - In: International journal of forecasting 39 (2023) 3, pp. 1221-1237

Persistent link: https://www.econbiz.de/10014465267