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Dealing with endogeneity in threshold models using copulas : an illustration to the foreign trade multiplier

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - 2018

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...

Persistent link: https://www.econbiz.de/10011802217

Improving variance forecasts : the role of Realized Variance features

Papantonis, Ioannis; Rompolis, Leonidas; Tzavalis, Elias - In: International journal of forecasting 39 (2023) 3, pp. 1221-1237

Persistent link: https://www.econbiz.de/10014465267

On Regression-Based Tests for Persistence in Logarithmic Volatility Models

Psaradakis, Z.; Tzavalis, E. - In: Econometric reviews 18 (1999) 4, pp. 441-448

Persistent link: https://www.econbiz.de/10006911869

Optimal foreign investment dynamics in the presence of technological spillovers

Kapetanios, G.; Tzavalis, E. - In: Journal of economic dynamics & control 34 (2010) 3, pp. 296-314

Persistent link: https://www.econbiz.de/10008387044

A common shift in real interest rates across countries

Tzavalis, E. - In: Applied financial economics 9 (1999) 4, pp. 365-370

Persistent link: https://www.econbiz.de/10007684892

A Re-Examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests

Tzavalis, E.; Wickens, M. - In: International journal of finance & economics : IJFE 3 (1998) 3, pp. 229-240

Persistent link: https://www.econbiz.de/10007527036

Threshold endogeneity in threshold VARs : an application to monetary state dependence

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - 2023

Persistent link: https://www.econbiz.de/10014317517

Do the effects of interest eate changes depend on inflation?

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - In: Economic review 108 (2023) 4, pp. 49-59

Persistent link: https://www.econbiz.de/10014468395

Exploring Okun's law asymmetry : an endogenous threshold logistic smooth transition regression approach

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - In: Oxford bulletin of economics and statistics 85 (2023) 1, pp. 123-158

Persistent link: https://www.econbiz.de/10014304355

Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects

Papantonis, Ioannis; Rompolis, Leonidas S.; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 171-198

Persistent link: https://www.econbiz.de/10014288888

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