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Antonis Demos

Personal Details

First Name:Antonis
Middle Name:
Last Name:Demos
Suffix:
RePEc Short-ID:pde48
Athens University of Economics and Business Dept. of International and European Economic Studies 76 Patision Str. Athens 10434 Greece
+30-1-8203451

Affiliation

Department of International and European Economic Studies
Athens University of Economics and Business (AUEB)

Athens, Greece
https://www.dept.aueb.gr/deos/
RePEc:edi:diauegr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
  2. Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of MLEs in the EGARCH Model (Technical Appendix I)," DEOS Working Papers 1803, Athens University of Economics and Business.
  3. Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
  4. Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
  5. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
  6. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
  7. Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.
  8. Antonis Demos & Stelios Arvanitis, 2012. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1230, Athens University of Economics and Business.
  9. Antonis Demos & Stelios Arvanitis, 2012. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators Revised (Extended Appendix)," DEOS Working Papers 1215, Athens University of Economics and Business.
  10. Antonis Demos & Dimitra Kyriakopoulou, 2011. "Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model," DEOS Working Papers 1108, Athens University of Economics and Business.
  11. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
  12. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
  13. Dimitra Kyriakopoulou & Antonis Demos, 2010. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business.
  14. Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
  15. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.

Articles

  1. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
  2. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
  3. Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
  4. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
  5. Arvanitis Stelios & Demos Antonis, 2014. "Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-53, July.
  6. Sofia Anyfantaki & Antonis Demos, 2011. "Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model," Journal of Probability and Statistics, Hindawi, vol. 2011, pages 1-39, September.
  7. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
  8. Antonis Demos & Fragkiskos Filippaios & Marina Papanastassiou, 2004. "An event study analysis of outward foreign direct investment: the case of Greece," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 11(3), pages 329-348.
  9. Stelios Arvanitis & Antonis Demos, 2004. "Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 1-25, January.
  10. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
  11. Demos, Antonis & Sentana, Enrique, 1998. "An EM Algorithm for Conditionally Heteroscedastic Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 357-361, July.
  12. Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
  13. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.

    Cited by:

    1. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.

  2. Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.

    Cited by:

    1. Stelios Arvanitis & Sofia Anyfantaki, 2020. "On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 341-350, March.

  3. Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Liang Jiang & Xiaohu Wang & Jun Yu, 2014. "On Bias in the Estimation of Structural Break Points," Working Papers 22-2014, Singapore Management University, School of Economics.
    4. Jiang, Liang & Wang, Xiaohu & Yu, Jun, 2018. "New distribution theory for the estimation of structural break point in mean," Journal of Econometrics, Elsevier, vol. 205(1), pages 156-176.

  4. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Stéphane Guerrier & Samuel Orso & Maria-Pia Victoria-Feser, 2018. "Parametric Inference for Index Functionals," Econometrics, MDPI, vol. 6(2), pages 1-11, April.

  5. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.

    Cited by:

    1. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    2. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
    3. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
    4. Mirza, Nawazish & Naqvi, Bushra & Rahat, Birjees & Rizvi, Syed Kumail Abbas, 2020. "Price reaction, volatility timing and funds’ performance during Covid-19," Finance Research Letters, Elsevier, vol. 36(C).
    5. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    6. Dias, Gustavo Fruet, 2017. "The time-varying GARCH-in-mean model," Economics Letters, Elsevier, vol. 157(C), pages 129-132.
    7. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
    8. Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.

  6. Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Stelios Arvanitis & Antonis Demos, 2013. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1330, Athens University of Economics and Business, revised 28 Jun 2013.
    3. Antonis Demos & Stelios Arvanitis, 2012. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators Revised (Extended Appendix)," DEOS Working Papers 1215, Athens University of Economics and Business.
    4. Arvanitis Stelios & Demos Antonis, 2014. "Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-53, July.

  7. Antonis Demos & Stelios Arvanitis, 2012. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1230, Athens University of Economics and Business.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.

  8. Antonis Demos & Dimitra Kyriakopoulou, 2011. "Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model," DEOS Working Papers 1108, Athens University of Economics and Business.

    Cited by:

    1. Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.

  9. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.

    Cited by:

    1. Stelios Arvanitis, 2014. "A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 536-557, November.
    2. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
    3. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
    4. Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.

  10. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Stelios Arvanitis, 2014. "A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 536-557, November.

  11. Dimitra Kyriakopoulou & Antonis Demos, 2010. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
    4. Stelios Arvanitis & Antonis Demos, 2013. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1330, Athens University of Economics and Business, revised 28 Jun 2013.
    5. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
    6. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.

  12. Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.

    Cited by:

    1. Dunne, Peter G., 1999. "Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 35-52.
    2. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
    3. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
    4. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    5. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
    6. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    7. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
    8. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
    9. Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
    10. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
    11. Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, February.
    12. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
    13. Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
    14. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    15. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    16. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).

  13. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.

    Cited by:

    1. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
    2. Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
    3. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
    4. Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
    5. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
    6. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
    7. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    8. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February.
    9. Sentana, Enrique & Mencía, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
    10. Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
    11. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
    12. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    13. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
    14. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
    15. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    16. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009. "Survey Data as Coicident or Leading Indicators," Economics Working Papers ECO2009/19, European University Institute.
    17. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
    18. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    19. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
    20. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    21. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
    22. Anthony W. Hughes & Maxwell L. King & Kwek Kian Teng, 1999. "Selecting the Order of an ARCH Model," School of Economics and Public Policy Working Papers 1999-01, University of Adelaide, School of Economics and Public Policy.
    23. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    24. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    25. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    26. Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
    27. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    28. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    29. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
    30. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    31. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
    32. Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang, 2021. "MinP Score Tests with an Inequality Constrained Parameter Space," Papers 2107.06089, arXiv.org.
    33. Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
    34. Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    35. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Other publications TiSEM 0c1ff78c-d484-43bb-bcc3-a, Tilburg University, School of Economics and Management.
    36. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    37. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
    38. Cecilia Frale & David Veredas, 2008. "A Monthly Volatility Index for the US Economy," Working Papers ECARES 2008-008, ULB -- Universite Libre de Bruxelles.

Articles

  1. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
    See citations under working paper version above.
  2. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    See citations under working paper version above.
  3. Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
    See citations under working paper version above.
  4. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
    See citations under working paper version above.
  5. Arvanitis Stelios & Demos Antonis, 2014. "Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-53, July.

    Cited by:

    1. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.

  6. Sofia Anyfantaki & Antonis Demos, 2011. "Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model," Journal of Probability and Statistics, Hindawi, vol. 2011, pages 1-39, September.

    Cited by:

    1. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.

  7. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.

    Cited by:

    1. Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.

  8. Antonis Demos & Fragkiskos Filippaios & Marina Papanastassiou, 2004. "An event study analysis of outward foreign direct investment: the case of Greece," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 11(3), pages 329-348.

    Cited by:

    1. Min-Lee Chan & Kannika Duangnate & Cho-Min Lin, 2020. "Performance and Cash Value of Taiwan Multinational Firms’ FDI in ASEAN," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(2), pages 1-2.
    2. Stoian, Carmen & Filippaios, Fragkiskos, 2008. "Dunning's eclectic paradigm: A holistic, yet context specific framework for analysing the determinants of outward FDI: Evidence from international Greek investments," International Business Review, Elsevier, vol. 17(3), pages 349-367, June.
    3. Morresi, Ottorino & Pezzi, Alberto, 2011. "21 years of international M&As and joint ventures by Italian medium-sized listed firms: Value creation or value destruction?," Research in International Business and Finance, Elsevier, vol. 25(1), pages 75-87, January.

  9. Stelios Arvanitis & Antonis Demos, 2004. "Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 1-25, January.

    Cited by:

    1. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
    2. DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Rodríguez, Mª José & Ruiz Ortega, Esther, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    5. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
    6. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
    7. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
    8. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    9. Pelagatti Matteo M, 2009. "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-20, March.
    10. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.

  10. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.

    Cited by:

    1. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
    2. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
    3. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
    4. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Zea Bermudez, Patrícia de & Marín Díazaraque, Juan Miguel & Lopes Moreira Da Veiga, María Helena, 2019. "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 28214, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Rodríguez, Mª José & Ruiz Ortega, Esther, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
    9. Till Strohsal, 2013. "Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion," SFB 649 Discussion Papers SFB649DP2013-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    11. Menelaos Karanasos & J. Kim, "undated". "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York.
    12. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    13. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
    14. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
    16. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    17. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    18. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
    19. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
    20. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003. "LARCH, leverage and long memory," LSE Research Online Documents on Economics 2020, London School of Economics and Political Science, LSE Library.
    21. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
    22. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
    23. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(4), pages 637-668, September.

  11. Demos, Antonis & Sentana, Enrique, 1998. "An EM Algorithm for Conditionally Heteroscedastic Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 357-361, July.
    See citations under working paper version above.
  12. Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.

    Cited by:

    1. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
    2. Joelle Miffre, 2008. "Conditional Risk Premia in International Government Bond Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 185-204, September.
    3. Athanassiou, Emmanuel & Kollias, Christos & Syriopoulos, Theodore, 2006. "Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 411-424, December.
    4. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    5. Nicholas Apergis & Sophia Eleptheriou, 2001. "Stock returns and volatility: Evidence from the Athens Stock market index," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 50-61, March.

  13. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
    See citations under working paper version above.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (10) 2010-07-31 2011-01-23 2012-11-03 2012-12-06 2014-06-02 2014-10-22 2018-03-19 2018-03-19 2018-03-19 2023-02-06. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2011-01-23 2012-11-03 2012-12-06 2018-03-19 2018-03-19 2018-03-19 2023-02-06. Author is listed
  3. NEP-RMG: Risk Management (1) 2023-02-06

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