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Elias Tzavalis

Personal Details

First Name:Elias
Middle Name:
Last Name:Tzavalis
Suffix:
RePEc Short-ID:ptz13
http://www.aueb.gr/users/etzavalis/
School of Economics Department of Economics Athens University of Economics & Business Athens 104 34 Greece

Affiliation

Department of Economics
Athens University of Economics and Business (AUEB)

Athens, Greece
http://www.de.aueb.gr/

: 30-1-8237362-7
30-1-8226204
76, Patission Street, Athens 104 34
RePEc:edi:deauegr (more details at EDIRC)

Research output

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Jump to: Working papers Articles Books

Working papers

  1. Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias, 2018. "Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier," Working Paper Series 2136, European Central Bank.
  2. Evangelos Charalambakis & Yiannis Dendramis & Elias Tzavalis, 2017. "On the determinants of NPLS: lessons from Greece," Working Papers 220, Bank of Greece.
  3. 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.
  4. 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.
  5. Karavias, Yiannis & Tzavalis, Elias, 2012. "Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks," MPRA Paper 43128, University Library of Munich, Germany.
  6. Thanassis Kazanas & Elias Tzavalis, 2011. "Unveiling the monetary policy rule in euro area," Working Papers 130, Bank of Greece.
  7. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
  8. 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.
  9. 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.
  10. 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.
  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. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Li, C.A. & Philippopoulos, A. & Tzavalis, E., 1998. "Inflation and Exchange Rate Regimes in Mexico," Discussion Papers 9801, Exeter University, Department of Economics.
  19. 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.
  20. 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.
  21. Tzavalis, E. & Karanikas, E., 1997. "Tests of Structural Stability of Risk Premia and Returns Relationship," Discussion Papers 9712, Exeter University, Department of Economics.
  22. 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.
  23. 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.
  24. Harris, R. & Tzavalis, E., 1996. "Inference for Unit Roots in Dynamic Panels," Discussion Papers 9604, Exeter University, Department of Economics.
  25. Psaradakis, Z. & Tzavalis, E., 1995. "Regression-Based Tests for Persistence in Conditional Variances," Discussion Papers 9501, Exeter University, Department of Economics.
  26. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  27. 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.
  28. Abadir, Karim & Hadri, K. & Tzavalis, E., 1994. "The Asymptotic Influence of VAR Dimension on Estimator Biases," Discussion Papers 9406, Exeter University, Department of Economics.
  29. Yiannis Karavias & Elias Tzavalis, "undated". "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.
  30. Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis, "undated". "Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors," Discussion Papers 14/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  31. Elias Tzavalis & Michael Wickens, "undated". "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers 95/33, Department of Economics, University of York.
  32. Elias Tzavalis & Michael Wickens, "undated". "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.
  33. Yiannis Karavias & Elias Tzavalis, "undated". "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.
  34. Yiannis Karavias & Elias Tzavalis, "undated". "Generalized fixed-T panel unit root tests allowing for structural breaks," Discussion Papers 12/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  35. Yiannis Karavias & Elias Tzavalis, "undated". "Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite," Discussion Papers 14/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  36. Yiannis Karavias & Stella Spilioti & Elias Tzavalis, "undated". "A comparison of investors' sentiments and risk premium effects on valuing shares," Discussion Papers 15/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  37. Karim Abadir & Kaddour Hadri & Elias Tzavalis, "undated". "The Influence of VAR Dimensions on Estimator Biases," Discussion Papers 96/14, Department of Economics, University of York.

Articles

  1. Karavias, Yiannis & Symeonides, Spyridon D. & Tzavalis, Elias, 2018. "Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 54-59.
  2. Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias, 2017. "Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-41, January.
  3. Yiannis Karavias & Elias Tzavalis, 2017. "Local power of panel unit root tests allowing for structural breaks," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1123-1156, November.
  4. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
  5. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
  6. Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis, 2017. "On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks," Econometrics and Statistics, Elsevier, vol. 4(C), pages 70-90.
  7. Yiannis Karavias & Elias Tzavalis, 2016. "Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 222-239, March.
  8. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
  9. Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias, 2016. "A comparison of investors’ sentiments and risk premium effects on valuing shares," Finance Research Letters, Elsevier, vol. 17(C), pages 1-6.
  10. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
  11. Thanassis Kazanas & Elias Tzavalis, 2015. "Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes," Economica, London School of Economics and Political Science, vol. 82(328), pages 912-937, October.
  12. Palaiodimos, George & Tzavalis, Elias, 2015. "The EMU effects on asset market holdings and the recent financial crisis," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 153-161.
  13. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
  14. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
  15. Yiannis Dendramis & Giles E. Spungin & Elias Tzavalis, 2014. "Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(7), pages 515-531, November.
  16. 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.
  17. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
  18. 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.
  19. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
  20. 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.
  21. 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.
  22. 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, September.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. Elias Tzavalis, 1999. "A common shift in real interest rates across countries," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 365-369.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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 229-239, July.
  40. 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 364-380, August.
  41. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  42. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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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 21 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 (12) 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 2014-10-22 2018-04-02. Author is listed
  2. NEP-ETS: Econometric Time Series (10) 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 2014-10-22. Author is listed
  3. NEP-FMK: Financial Markets (4) 2000-12-19 2000-12-19 2004-03-14 2006-09-23
  4. NEP-RMG: Risk Management (3) 2003-02-24 2004-02-15 2004-03-14
  5. NEP-EEC: European Economics (2) 2011-07-13 2017-08-06
  6. NEP-FIN: Finance (2) 2001-02-21 2001-02-21
  7. NEP-MAC: Macroeconomics (2) 2005-05-23 2011-07-13
  8. NEP-CBA: Central Banking (1) 2011-07-13
  9. NEP-CFN: Corporate Finance (1) 2003-02-24
  10. NEP-CMP: Computational Economics (1) 2003-02-24
  11. NEP-IFN: International Finance (1) 2004-03-14
  12. NEP-MON: Monetary Economics (1) 2011-07-13

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