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Nonlinear modelling of autoregressive structural breaks in some US macroeconomic series

Kapetanios, George; Tzavalis, Elias - In: Nonlinear time series analysis of business cycles, (pp. 175-198). 2006

Persistent link: https://www.econbiz.de/10003309355

Modeling structural breaks in economic relationships using large shocks

Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 34 (2010) 3, pp. 417-436

Persistent link: https://www.econbiz.de/10003966451

A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series

Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis D. - In: Econometric reviews 30 (2011) 2, pp. 208-249

Persistent link: https://www.econbiz.de/10008990443

A Bayesian analysis of unit roots and structural breaks in the level and the error variance of autoregressive models

Meligkotsidou, Loukia (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002153105

Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808239

The impact of large structural shocks onn economic relationships : evidence from oil price shocks

Kapetanios, George (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002403201

Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models

De Wachter, Stefan; Tzavalis, Elias - In: Economics letters 88 (2005) 1, pp. 91-96

Persistent link: https://www.econbiz.de/10002880912

Detection of structural breaks in linear dynamic panel data models

Wachter, Stefan de (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001920683

Fiscal policy and politics : theory and evidence from Greece 1960 - 1997

Lockwood, Ben; Philippopulos, Apostolēs; Tzavalis, Elias - In: Economic modelling 18 (2001) 2, pp. 253-268

Persistent link: https://www.econbiz.de/10001560640

Structural Breaks in Stock Returns Driven by Large Shocks

Dendramis, Yiannis - 2013

This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or...

Persistent link: https://www.econbiz.de/10013075530