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Elias Tzavalis

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Personal Details

First Name: Elias
Middle Name:
Last Name: Tzavalis
Suffix:

RePEc Short-ID: ptz13

Email: [This author has chosen not to make the email address public]
Homepage: http://www.aueb.gr/users/etzavalis/
Postal Address: School of Economics Department of Economics Athens University of Economics & Business Athens 104 34 Greece
Phone:

Affiliation

Department of Economics
Athens University of Economics and Business (AUEB)
Location: Athens, Greece
Homepage: http://www.de.aueb.gr/
Email:
Phone: 30-1-8237362-7
Fax: 30-1-8226204
Postal: 76, Patission Street, Athens 104 34
Handle: RePEc:edi:deauegr (more details at EDIRC)

Works

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Working papers

  1. Karavias, Yiannis & Tzavalis, Elias, 2013. "The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks," MPRA Paper 46012, University Library of Munich, Germany.
  2. Karavias, Yiannis & Tzavalis, Elias, 2012. "On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors," MPRA Paper 43131, University Library of Munich, Germany.
  3. Karavias, Yiannis & Tzavalis, Elias, 2012. "Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks," MPRA Paper 43128, University Library of Munich, Germany.
  4. Thanassis Kazanas & Elias Tzavalis, 2011. "Unveiling the monetary policy rule in euro area," Working Papers 130, Bank of Greece.
  5. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary, University of London, School of Economics and Finance.
  6. Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis, 2005. "Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension," Working Papers 550, Queen Mary, University of London, School of Economics and Finance.
  7. George Kapetanios & Elias Tzavalis, 2005. "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers 537, Queen Mary, University of London, School of Economics and Finance.
  8. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary, University of London, School of Economics and Finance.
  9. Stefan de Wachter & Elias Tzavalis, 2004. "Detection of Structural Breaks in Linear Dynamic Panel Data Models," Working Papers 505, Queen Mary, University of London, School of Economics and Finance.
  10. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary, University of London, School of Economics and Finance.
  11. George Kapetanios & Elias Tzavalis, 2004. "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers 524, Queen Mary, University of London, School of Economics and Finance.
  12. Elias Tzavalis & Shijun Wang, 2003. "Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary," Working Papers 488, Queen Mary, University of London, School of Economics and Finance.
  13. Hugo Kruiniger & Elias Tzavalis, 2002. "Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-1, International Conferences on Panel Data.
  14. Kyriakos Chourdakis & Elias Tzavalis, 2000. "Option Pricing with a Dividend General Equilibrium Model," Working Papers 425, Queen Mary, University of London, School of Economics and Finance.
  15. Kyriakos Chourdakis & Elias Tzavalis, 2000. "Option Pricing under Discrete Shifts in Stock Returns," Working Papers 426, Queen Mary, University of London, School of Economics and Finance.
  16. Li, C.A. & Philippopoulos, A. & Tzavalis, E., 1998. "Inflation and Exchange Rate Regimes in Mexico," Discussion Papers 9801, Exeter University, Department of Economics.
  17. Harris, R.D.F. & Tzavalis, E., 1998. "Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors," Discussion Papers 9806, Exeter University, Department of Economics.
  18. Harris, Richard & Tzavalis, Elias, 1997. "Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends," Discussion Papers 9705, Exeter University, Department of Economics.
  19. Tzavalis, Elias, 1997. "Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure?," Discussion Papers 9711, Exeter University, Department of Economics.
  20. Tzavalis, E. & Karanikas, E., 1997. "Tests of Structural Stability of Risk Premia and Returns Relationship," Discussion Papers 9712, Exeter University, Department of Economics.
  21. Makrydakis, S. & Tzavalis, E. & Balfoussias, A., 1996. "Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece," Discussion Papers 9601, Exeter University, Department of Economics.
  22. Harris, R. & Tzavalis, E., 1996. "Inference for Unit Roots in Dynamic Panels," Discussion Papers 9604, Exeter University, Department of Economics.
  23. Psaradakis, Z. & Tzavalis, E., 1995. "Regression-Based Tests for Persistence in Conditional Variances," Discussion Papers 9501, Exeter University, Department of Economics.
  24. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  25. Abadir, Karim & Hadri, K. & Tzavalis, E., 1994. "The Asymptotic Influence of VAR Dimension on Estimator Biases," Discussion Papers 9406, Exeter University, Department of Economics.
  26. Tzavalis, E. & Wickens, M.R., 1994. "The Persistence in Volatility of the US Term Premium 1970-1986," Discussion Papers 9409, Exeter University, Department of Economics.
  27. Yiannis Karavias & Elias Tzavalis, . "Generalized fixed-T panel unit root tests allowing for structural breaks," Discussion Papers 12/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  28. Yiannis Karavias & Elias Tzavalis, . "The local power of fixed-T panel unit root tests allowing for serially correlated errors," Discussion Papers 12/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  29. Elias Tzavalis & Michael Wickens, . "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers 95/33, Department of Economics, University of York.
  30. Elias Tzavalis & Michael Wickens, . "Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure," Discussion Papers 94/11, Department of Economics, University of York.
  31. Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis, . "Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors," Discussion Papers 14/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  32. Yiannis Karavias & Elias Tzavalis, . "A fixed-T version of Breitung's panel data unit root test and its asymptotic local power," Discussion Papers 14/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  33. Karim Abadir & Kaddour Hadri & Elias Tzavalis, . "The Influence of VAR Dimensions on Estimator Biases," Discussion Papers 96/14, Department of Economics, University of York.

Articles

  1. Karavias, Yiannis & Tzavalis, Elias, 2014. "A fixed-T version of Breitung’s panel data unit root test," Economics Letters, Elsevier, vol. 124(1), pages 83-87.
  2. Karavias, Yiannis & Tzavalis, Elias, 2014. "Testing for unit roots in short panels allowing for a structural break," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 391-407.
  3. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2012. "A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(9), pages 1975-1990, May.
  4. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
  5. Loukia Meligkotsidou & Elias Tzavalis & Ioannis Vrontos, 2011. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series," Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 208-249.
  6. Thanassis Kazanas & Apostolis Philippopoulos & Elias Tzavalis, 2011. "Monetary Policy Rules And Business Cycle Conditions," Manchester School, University of Manchester, vol. 79(s2), pages 73-97, 09.
  7. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  8. Leonidas S. Rompolis & Elias Tzavalis, 2010. "Risk Premium Effects On Implied Volatility Regressions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 125-151.
  9. Rompolis, Leonidas S. & Tzavalis, Elias, 2008. "Recovering Risk Neutral Densities from Option Prices: A New Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(04), pages 1037-1053, December.
  10. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1610-1628.
  11. De Wachter, Stefan & Tzavalis, Elias, 2005. "Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models," Economics Letters, Elsevier, vol. 88(1), pages 91-96, July.
  12. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
  13. Richard Harris & Elias Tzavalis, 2004. "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," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 149-166.
  14. Karim M. Abadir & Kaddour Hadri & Elias Tzavalis, 2003. "Rejoinder to Comment by Doornik, Nielsen, and Rothenberg," Econometrica, Econometric Society, vol. 71(1), pages 385-386, January.
  15. Lockwood, Ben & Philippopoulos, Apostolis & Tzavalis, Elias, 2001. "Fiscal policy and politics: theory and evidence from Greece 1960-1997," Economic Modelling, Elsevier, vol. 18(2), pages 253-268, April.
  16. Li, Carmen A & Philippopoulos, Apostolis & Tzavalis, Elias, 2000. "Inflation and Exchange Rate Regimes in Mexico," Review of Development Economics, Wiley Blackwell, vol. 4(1), pages 87-100, February.
  17. Karim M. Abadir & Kaddour Hadri & Elias Tzavalis, 1999. "The Influence of VAR Dimensions on Estimator Biases," Econometrica, Econometric Society, vol. 67(1), pages 163-182, January.
  18. Zacharias Psaradakis & Elias Tzavalis, 1999. "On regression-based tests for persistence in logarithmic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 18(4), pages 441-448.
  19. Elias Tzavalis, 1999. "A common shift in real interest rates across countries," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 365-369.
  20. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  21. Makrydakis, Stelios & Tzavalis, Elias & Balfoussias, Athanassios, 1998. "Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece," Economic Modelling, Elsevier, vol. 16(1), pages 71-86, January.
  22. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-39, July.
  23. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
  24. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  25. Tzavalis, Elias & Wickens, M. R., 1995. "The persistence in volatility of the US term premium 1970-1986," Economics Letters, Elsevier, vol. 49(4), pages 381-389, October.

Books

  1. Phillips,Garry D. A. & Tzavalis,Elias (ed.), 2012. "The Refinement of Econometric Estimation and Test Procedures," Cambridge Books, Cambridge University Press, number 9781107406247.
  2. Phillips,Garry D. A. & Tzavalis,Elias (ed.), 2007. "The Refinement of Econometric Estimation and Test Procedures," Cambridge Books, Cambridge University Press, number 9780521870535.

NEP Fields

17 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2011-07-13
  2. NEP-CFN: Corporate Finance (1) 2003-02-24
  3. NEP-CMP: Computational Economics (1) 2003-02-24
  4. NEP-ECM: Econometrics (10) 2002-07-10 2004-02-20 2004-08-09 2006-01-01 2006-09-23 2012-12-15 2012-12-15 2013-04-13 2014-06-02 2014-08-20. Author is listed
  5. NEP-EEC: European Economics (1) 2011-07-13
  6. NEP-ETS: Econometric Time Series (9) 2002-07-04 2004-08-02 2005-05-23 2006-01-01 2006-09-23 2012-12-15 2012-12-15 2013-04-13 2014-06-02. Author is listed
  7. NEP-FMK: Financial Markets (4) 2000-12-19 2000-12-19 2004-03-14 2006-09-23
  8. NEP-IFN: International Finance (1) 2004-03-14
  9. NEP-MAC: Macroeconomics (2) 2005-05-23 2011-07-13
  10. NEP-MON: Monetary Economics (1) 2011-07-13
  11. NEP-RMG: Risk Management (3) 2003-02-24 2004-02-15 2004-03-14

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