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Term Spread Regressions of the Rational Expectations Hypothesis of the Term Structure Allowing for Risk Premium Effects

Argyropoulos, Efthymios - 2013

This paper suggests term spread regression based tests allowing for time-varying term premium effects, with the aim of explaining the empirical failures of the term spread to forecast future movements in interest rates. To capture the e¤ects of a time-varying term premium on the term spread,...

Persistent link: https://www.econbiz.de/10013087497

Risk premium effects on implied volatility regressions

Rompolis, Leonidas S.; Tzavalis, Elias - In: The journal of financial research 33 (2010) 2, pp. 125-151

Persistent link: https://www.econbiz.de/10003987976

Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors

Symeonides, Spyridon D.; Kandilorou, Helen; Tzavalis, Elias - In: The refinement of econometric estimation and test …, (pp. 173-204). 2007

Persistent link: https://www.econbiz.de/10003461869

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

Exploring Okun's law asymmetry : an endogenous threshold logistic smooth transition regression approach

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - In: Oxford bulletin of economics and statistics 85 (2023) 1, pp. 123-158

Persistent link: https://www.econbiz.de/10014304355

Measuring conditional persistence in time series

Kapetanios, George (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867244

Estimating deterministically time-varying variances in regression models

Kapetanios, George (contributor) - 2005

Persistent link: https://www.econbiz.de/10002808192

Tests for deterministic parametric structural change in regression models

Kapetanios, George (contributor) - 2005

Persistent link: https://www.econbiz.de/10002808206

Variable selection using non-standard optimisation of information criteria

Kapetanios, George (contributor) - 2005

Persistent link: https://www.econbiz.de/10002808328

Measuring conditional persistence in nonlinear time series

Kapetanios, George - In: Oxford bulletin of economics and statistics 69 (2007) 3, pp. 363-386

Persistent link: https://www.econbiz.de/10003467586

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