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Maximum likelihood estimation of non-affine volatility processes

Chourdakis, Kyriakos; Dotsis, George - In: Journal of empirical finance 18 (2011) 3, pp. 533-545

Persistent link: https://www.econbiz.de/10009302070

Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors

Symeonides, Spyridon D.; Kandilorou, Helen; Tzavalis, Elias - In: The refinement of econometric estimation and test …, (pp. 173-204). 2007

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The influence of VAR dimensions on estimator biases

Abadir, Karim Maher; Hadri, Kaddour; Tzavalis, Elias - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 1, pp. 163-181

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Inference for unit roots in dynamic panels

Harris, Richard D. F.; Tzavalis, Elias - 1996

Persistent link: https://www.econbiz.de/10000939832

Inference for unit roots in dynamic panels with heteroscedastic and serially correlated errors

Harris, Richard D. F.; Tzavalis, Elias - 1998

Persistent link: https://www.econbiz.de/10000992997

The influence of VAR dimensions on estimator biases : comment

Doornik, Jurgen A.; Nielsen, Bent; Rothenberg, Thomas J. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 377-383

Persistent link: https://www.econbiz.de/10001731136

Regression-based tests for persistence in conditional variances

Psaradakis, Zacharias G.; Tzavalis, Elias - 1995

Persistent link: https://www.econbiz.de/10000912747

Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Symeonides, Spyridon D.; Karavias, Yiannis; Tzavalis, Elias - In: Journal of time series econometrics 9 (2017) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10011671115

Retrieving risk neutral moments and expected quadratic variation from option prices

Rompolis, Leonidas S.; Tzavalis, Elias - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 955-1002

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The Influence of VAR Dimensions on Estimator Biases

Abadir, Karim M. - 2012

Vector AutoRegressions (VARs) have now become the most popular tool of Time Series analysis amongst econometricians. Unfortunately, little is known about the analytic finite-sample properties of parameter estimators for such systems. The asymptotic analysis of VARs published to date does not...

Persistent link: https://www.econbiz.de/10013112346