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Reflecting on the contributions of Professor Tsionas in time series analysis, asset price modelling, and forecasting

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  • Emmanuel C Mamatzakis

Abstract

While Professor Tsionas is widely acclaimed for his ground-breaking works in Bayesian panel econometrics and frontier analysis models, his substantial impact in time series analysis in finance remains relatively less known. Nonetheless, the doctoral thesis of Professor Tsionas focussed on asset pricing models, serving as a foundation for his subsequent research pursuits in time series analysis and forecasting. Characterised by elegance and simplicity, Professor Tsionas conceptualised econometric models and Bayesian estimation methods that have been applied to fields such as banking, finance, macro-finance, and tourism. In addition, his insights into time series analysis have informed decision-making processes in these fields.

Suggested Citation

  • Emmanuel C Mamatzakis, 2025. "Reflecting on the contributions of Professor Tsionas in time series analysis, asset price modelling, and forecasting," Tourism Economics, , vol. 31(1), pages 14-23, February.
    • Handle: RePEc:sae:toueco:v:31:y:2025:i:1:p:14-23
    DOI: 10.1177/13548166241256694
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    References listed on IDEAS

    as
    1. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2016. "Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500," Journal of Financial Stability, Elsevier, vol. 24(C), pages 61-70.
    2. Panos Xidonas & Mike Tsionas & Constantin Zopounidis, 2020. "On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH," Annals of Operations Research, Springer, vol. 284(1), pages 469-482, January.
    3. Assaf, A. George & Tsionas, Mike G., 2019. "On proper specification in tourism research," Annals of Tourism Research, Elsevier, vol. 77(C), pages 148-153.
    4. Emmanuel C. Mamatzakis & Mike G. Tsionas, 2020. "Revealing forecaster's preferences: A Bayesian multivariate loss function approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 412-437, April.
    5. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
    6. Thierry Post & Haim Levy, 2005. "Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 925-953.
    7. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    8. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
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