Search Results

Quality control for structural credit risk models,
Elena Andreou and Eric Ghysels, in Journal of Econometrics (2008)
Keywords: Credit risk models Sequential tests Structural change

Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors,
Elena Andreou and Eric Ghysels, in Journal of Econometrics (2021)
Keywords: Factor asset pricing models; Volatility Factors; ARCH filters;

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results,
Elena Andreou and Eric Ghysels, in Journal of Business & Economic Statistics (2002)

Comment,
Elena Andreou and Eric Ghysels, in Journal of Business & Economic Statistics (2014)

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results,
Elena Andreou and Eric Ghysels, from CIRANO (2000)
Keywords: High-frequency data, volatility, continuous record asymptotics, Monte Carlo simulations, Données haute fréquence, volatilité, Monte Carlo

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,
Elena Andreou and Eric Ghysels, from CIRANO (2004)
Keywords: Change-point tests, CUSUM, Kolmogorov-Smirnov, GARCH, quadratic variation, power variation, high-frequency data, location-scale distribution family, tests de changement structurel, CUSUM, Kolmogov-Smirnov, GARCH, variation quadratique, 'power variation', données de haute fréquence

Monitoring disruptions in financial markets,
Elena Andreou and Eric Ghysels, in Journal of Econometrics (2006)

Statistical Adequacy and the Testing of Trend Versus Difference Stationarity,
Elena Andreou and Aris Spanos, in Econometric Reviews (2003)

Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations,
Elena Andreou and Eric Ghysels, from Emerald Group Publishing Limited (2006)

Detecting multiple breaks in financial market volatility dynamics,
Elena Andreou and Eric Ghysels, in Journal of Applied Econometrics (2002)

Detecting Mutiple Breaks in Financial Market Volatility Dynamics,
Elena Andreou and Eric Ghysels, from CIRANO (2001)
Keywords: Structural breaks, ARCH, long memory, high-frequency data , Ruptures structurelles, ARCH, mémoire longue, données à haute fréquence

Tests for Breaks in the Conditional Co-movements of Asset Returns,
Elena Andreou and Eric Ghysels, from CIRANO (2002)
Keywords: Change-point tests, multivariate GARCH models, conditional covariance, high-frequency financial data, Changement structurel, ARCH, corrélations conditionnelles, données de haute fréquence

Monitoring for Disruptions in Financial Markets,
Elena Andreou and Eric Ghysels, from CIRANO (2004)
Keywords: structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power, changement structurel, CUSUM, GARCH, variation quadratique, 'power variation', données de haute fréquence, pont Brownien, puissance locale, tests séquentiels

Detecting Multiple Breaks in Financial Market Volatility Dynamics,
Elena Andreou and Eric Ghysels, from University of Cyprus Department of Economics (2001)
Keywords: change-point, break dates, ARCH, high-frequency data.

Test for Breaks in the Conditional Co-Movements of Asset Returns,
Elena Andreou and Eric Ghysels, from University of Cyprus Department of Economics (2003)
Keywords: change-point tests, conditional covariance, high-frequency financial data, multivariate GARCH models

Quality Control for Structural Credit Risk Models,
Elena Andreou and Eric Ghysels, from University of Cyprus Department of Economics (2007)

Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors,
Elena Andreou and Eric Ghysels, from University of Cyprus Department of Economics (2020)
Keywords: Factor asset pricing models; Volatility Factors; ARCH filters

The Shadow Economy in Cyprus: Evidence from the Electricity Consumption and Currency Demand Methods,
Christoforos Andreou, Elena Andreou, Stephanie Michael and George Syrichas, in Cyprus Economic Policy Review (2021)
Keywords: black economy, underground economy, macroeconomic approach, time-series methods

Should Macroeconomic Forecasters Use Daily Financial Data and How?,
Elena Andreou, Eric Ghysels and Andros Kourtellos, from Rimini Centre for Economic Analysis (2010)
Keywords: MIDAS; macro forecasting, leads; daily financial information; daily factors

Should macroeconomic forecasters use daily financial data and how?,
Eric Ghysels, Andros Kourtellos and Elena Andreou, from Society for Economic Dynamics (2012)

Is Volatility Good for Growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Rimini Centre for Economic Analysis (2008)
Keywords: growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity

Stock and foreign exchange market linkages in emerging economies,
Elena Andreou, Maria Matsi and Andreas Savvides, in Journal of International Financial Markets, Institutions and Money (2013)
Keywords: Volatility spillovers; MGARCH; Emerging economies;

An Alternative Asymptotic Analysis of Residual-Based Statistics,
Elena Andreou and Bas J. M. Werker, in The Review of Economics and Statistics (2012)

Regression models with mixed sampling frequencies,
Elena Andreou, Eric Ghysels and Andros Kourtellos, in Journal of Econometrics (2010)
Keywords: High frequency data Temporal aggregation

The behaviour of stock returns and interest rates over the business cycle in the US and UK,
Elena Andreou, Rita Desiano and Marianne Sensier, in Applied Economics Letters (2001)

Inflation expectations and monetary policy in Europe,
Elena Andreou, Snezana Eminidou and Marios Zachariadis, from C.E.P.R. Discussion Papers (2016)
Keywords: Inflation expectations; Monetary policy; Shocks; Crisis

Inflation Expectations and Monetary Policy Surprises,
Snezana Eminidou, Marios Zachariadis and Elena Andreou, from Society for Economic Dynamics (2017)

Inflation Expectations and Monetary Policy Surprises,
Snezana Eminidou, Marios Zachariadis and Elena Andreou, in Scandinavian Journal of Economics (2020)

A Comparison of the Statistical Properties of Financial Variables in the USA, UK and Germany over the Business Cycle,
Elena Andreou, Denise Osborn and Marianne Sensier, in Manchester School (2000)

Nonparametric Predictive Regression,
Elena Andreou, Ioannis Kasparis and Peter Phillips, from C.E.P.R. Discussion Papers (2013)
Keywords: Functional regression; Nonparametric predictability test; Nonparametric regression; Stock returns; Predictive regression

Nonparametric predictive regression,
Ioannis Kasparis, Elena Andreou and Peter Phillips, in Journal of Econometrics (2015)
Keywords: Fractional Ornstein–Uhlenbeck process; Functional regression; Nonparametric predictability test; Nonparametric regression; Stock returns; Predictive regression;

Should Macroeconomic Forecasters Use Daily Financial Data and How?,
Elena Andreou, Eric Ghysels and Andros Kourtellos, in Journal of Business & Economic Statistics (2013)

Residual-based Rank Specification Tests for AR-GARCH type models,
Bas J M Werker and Elena Andreou, from C.E.P.R. Discussion Papers (2013)
Keywords: Parameter constancy; Conditional heteroskedasticity; Linear and quadratic residual autocorrelation tests; Model misspecification test; Nonlinear time series; Residual symmetry tests

Residual-based rank specification tests for AR–GARCH type models,
Elena Andreou and Bas J.M. Werker, in Journal of Econometrics (2015)
Keywords: Conditional heteroskedasticity; Linear and quadratic residual autocorrelation tests; Model misspecification test; Nonlinear time series; Parameter constancy; Residual symmetry tests;

Inflation Expectations and Monetary Policy Surprises,
Snezana Eminidou, Marios Zachariadis and Elena Andreou, from Central Bank of Cyprus (2018)
Keywords: Imperfect information, rational inattention, shocks, beliefs, crisis

Is Volatility Good for Growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Economics, The University of Manchester (2008)

The effect of nominal shock uncertainty on output growth,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Economics, The University of Manchester (2003)
Keywords: growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity

Is Volatility Good for Growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Economics, The University of Manchester (2008)

On Modelling Speculative Prices: The Empirical Literature,
Elena Andreou, Nikitas Pittis and Aris Spanos, in Journal of Economic Surveys (2001)

Nonparametric Predictive Regression,
Ioannis Kasparis, Elena Andreou and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2012)
Keywords: Functional regression, Nonparametric predictability test, Nonparametric regression, Stock returns, Predictive regression

Is volatility good for growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Department of Communication, University of Teramo (2008)

Is Volatility Good for Growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Tor Vergata University, CEIS (2008)
Keywords: growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity.

Is Volatility Good for Growth? Evidence from the G7,
Elena Andreou, Alessandra Pelloni and Marianne Sensier, from Tor Vergata University, CEIS (2013)
Keywords: growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity

Regression Models with Mixed Sampling Frequencies,
Elena Andreou, Eric Ghysels and Andros Kourtellos, from University of Cyprus Department of Economics (2007)

An Alternative Asymptotic Analysis of Residual-Based Statistics,
Elena Andreou and Bas J.M. Werker, from University of Cyprus Department of Economics (2010)
Keywords: Le Cam's third lemma, Local Asymptotic Normality (LAN)

Should macroeconomic forecasters use daily financial data and how?,
Elena Andreou, Eric Ghysels and Andros Kourtellos, from University of Cyprus Department of Economics (2010)
Keywords: MIDAS, macro forecasting, leads, daily financial information, daily factors.

Forecasting with mixed-frequency data,
Elena Andreou, Eric Ghysels and Andros Kourtellos, from University of Cyprus Department of Economics (2010)

Volatility Forecast Combinations using Asymmetric Loss Functions,
Elena Andreou, Constantinos Kourouyiannis and Andros Kourtellos, from University of Cyprus Department of Economics (2012)
Keywords: asymmetric loss functions, forecast combinations, realized volatility, volatility forecasting.

Robust volatility forecasts in the presence of structural breaks,
Elena Andreou, Eric Ghysels and Constantinos Kourouyiannis, from University of Cyprus Department of Economics (2012)
Keywords: forecast combinations, volatility, structural breaks

Nonparametric Predictive Regression,
Ioannis Kasparis, Elena Andreou and Peter Phillips, from University of Cyprus Department of Economics (2012)
Keywords: Functional regression, Nonparametric predictability test, Nonparametric regression, Stock returns, Predictive regression

Stock and Foreign Exchange Market Linkages in Emerging Economies,
Elena Andreou, Maria Matsi and Andreas Savvides, from University of Cyprus Department of Economics (2013)
Keywords: Volatility Spillovers, MGARCH, Emerging Economies

Residual-based Rank Specification Tests for AR-GARCH type models,
Elena Andreou and Bas J.M. Werker, from University of Cyprus Department of Economics (2014)
Keywords: Conditional heteroskedasticity, Linear and quadratic residual autocorrelation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests

Inflation expectations and monetary policy surprises,
Elena Andreou, Snezana Eminidou and Marios Zachariadis, from University of Cyprus Department of Economics (2017)
Keywords: Inflation; Expectations; Unanticipated; Monetary policy; Beliefs; Crisis

Is Industrial Production Still the Dominant Factor for the US Economy?,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, from C.E.P.R. Discussion Papers (2017)
Keywords: Group factor models; Midas; Gdp growth

Three Common Factors,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, from C.E.P.R. Discussion Papers (2022)
Keywords: Testing common factors; Portfolio sorting; Factor zoo

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, in Journal of Financial Econometrics
Keywords: large panel, unobservable pervasive factors, mixed frequency, canonical correlations, forecasting models

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, in Journal of Financial Econometrics (2020)
Keywords: large panel, unobservable pervasive factors, mixed frequency, canonical correlations, forecasting models

Is Industrial Production Still the Dominant Factor for the US Economy?,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, from Swiss Finance Institute (2016)

Structural Break Tests Robust to Regression Misspecification,
Alaa Abi Morshed, Elena Andreou and Otilia Boldea, in Econometrics (2018)
Keywords: structural change; sup Wald test; dynamic misspecification

Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets,
Jason Andreou, in Bank of Canada Review (2005)

Some Handicaps in Mechanized‐Cooperative‐Farming in Bangladesh,
Paris Andreou, in Public Administration & Development (1979)

Phillipa Foot, Natural Goodness (Oxford: Clarendon Press 2001), pp. 125,
Chrisoula Andreou, in Utilitas (2005)

The Borrowing Behaviour of Households: Evidence from the Cyprus Family Expenditure Surveys,
Sofia Andreou, in Cyprus Economic Policy Review (2011)
Keywords: Household debt, household savings, smooth income, Cyprus family expenditure surveys.

Agricultural development effort in Nigeria-- an economic appraisal of the Western State settlement scheme,
P. Andreou, in Agricultural Systems (1981)

The effect of urban layout, street geometry and orientation on shading conditions in urban canyons in the Mediterranean,
E. Andreou, in Renewable Energy (2014)
Keywords: Urban microclimate; Urban canyon; Shading;

Thermal comfort in outdoor spaces and urban canyon microclimate,
E. Andreou, in Renewable Energy (2013)
Keywords: Thermal comfort outdoors; Urban microclimate; Urban canyon;

Analysis of Household Expenditure on Education in Cyprus,
Sofia Andreou, in Cyprus Economic Policy Review (2012)
Keywords: Education expenditure, household analysis, Cyprus.

Consumers’ valuation of academic and deprivation-compensating aspects of school performance in England,
Sofia Andreou, in International Journal of Social Economics (2018)
Keywords: House prices, Education equality, Consumer valuation, School performance, Hedonic analysis, Contextual value added, D12, I21

Financial literacy and its influence on consumers’ internet banking behaviour,
Panayiotis C. Andreou Andreou and Sofia Anyfantaki, from Bank of Greece (2019)
Keywords: financial literacy; internet banking; digital literacy; financial education; national strategy.

Effects of market default risk on index option risk-neutral moments,
Panayiotis C. Andreou, in Quantitative Finance (2015)

Registered author: Sofia N Andreou

Financial distress risk and stock price crashes,
Christoforos K. Andreou, Panayiotis C. Andreou and Neophytos Lambertides, in Journal of Corporate Finance (2021)
Keywords: Firm-specific stock price crashes; Distress risk; Bad news hoarding; Agency problems; Managerial opportunism; Financial analysts;

AN ULTIMATUM WAGE BARGAINING EXPERIMENT ON TRADE UNION EFFICIENCY,
Adamos Andreou, Sofia Andreou, Aurora García-Gallego and Nikolaos Georgantzís, in Bulletin of Economic Research (2013)

The ‘Comilla Model’ and Rural Development in Bangladesh,
Paris Andreou and Ahmed Ghaui, in Public Administration & Development (1979)

Financial Vulnerability in the Central and Eastern European Countries,
Irène Andreou and Aleksandra Zdzienicka, from HAL (2009)
Keywords: Financial Vulnerability,Panel Probit Model,CEECs

A Forewarning Indicator System for Financial Crises: the Case of Six Central and Eastern European Countries,
Irène Andreou and Gilles Dufrénot, in Journal of Economic Integration (2009)
Keywords: currency crisis; early warning system; composite indicator; Eastern Europe

Jean-Pierre Allegret: Exchange Rate Regimes for Emerging Countries. Perspectives for the 21st Century (Vuibert Editions, 2005),
Irene Andreou and Aleksandra Zdzienicka, in Panoeconomicus (2007)

A systematic review on feedback research for residential energy behavior change through mobile and web interfaces,
I.M. Chatzigeorgiou and G.T. Andreou, in Renewable and Sustainable Energy Reviews (2021)
Keywords: Feedback; Systematic review; Energy efficiency; Energy conservation; Behavior change; Household energy;

Investigation of urban canyon microclimate in traditional and contemporary environment. Experimental investigation and parametric analysis,
E. Andreou and K. Axarli, in Renewable Energy (2012)
Keywords: Urban microclimate; Urban canyon;

Measuring Relative Military Security,
Andreas Andreou and George Zombanakis, from University Library of Munich, Germany (2003)
Keywords: Artificial Neural Networks, Integrated Defence Space Doctrine

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange,
Panayiotis Andreou and Yiannos Pierides, in The European Journal of Finance (2008)
Keywords: market efficiency, market frictions, cost of carry model,

Income Inequality, Poverty and the Impact of the Pension Reform,
Maria Andreou and Panos Pashardes, in Cyprus Economic Policy Review (2009)
Keywords: Income inequality, poverty, pension reform

Constructing Official Culture through Stamps: The Case of the Republic of Cyprus,
Sonia Andreou and Evripides Zantides, in Journal of Balkan and Near Eastern Studies (2018)

A consumer demand approach to estimating the education quality component of housing cost,
Sofia Andreou and Nicoletta Pashourtidou, in Applied Economics Letters (2013)

The Thief of Time: Philosophical Essays on Procrastination,
Chrisoula Andreou and Mark White, from Oxford University Press (2010)

The Thief of Time: Philosophical Essays on Procrastination,
Chrisoula Andreou and Mark White, from Oxford University Press (2012)

An Alternative Asymptotic Analysis of Residual-Based Statistics,
E. Andreou and B.J.M. Werker, from Tilburg University, School of Economics and Management (2004)

A Simple Asymptotic Analysis of Residual-Based Statistics,
E. Andreou and B.J.M. Werker, from Tilburg University, School of Economics and Management (2003)

Financial Vulnerability in the Central and Eastern European Countries,
Irène Andreou and Aleksandra Zdzienicka, from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2009)
Keywords: Financial Vulnerability, Panel Probit Model, CEECs

A Simple Asymptotic Analysis of Residual-Based Statistics,
E. Andreou and Bas Werker, from Tilburg University, Center for Economic Research (2003)
Keywords: statistics; estimation; ranking