Elias Tzavalis

Names

Identifer

Contact

Affiliations

• Athens University of Economics and Business (AUEB) / Department of Economics
  • EDIRC entry
  • location:

Research profile

author of:

• Retrieving inaation expectations and risk premia e§ects from theterm structure of interest rates (RePEc:aeb:wpaper:2013022:y:2013)
  by Efthymios Argyropoulos & Elias Tzavalis
• The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components (RePEc:aeb:wpaper:2013023:y:2013)
  by Yiannis Karavias & Elias Tzavalis
• Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals (RePEc:bir:birmec:20-21)
  by Yiannis Karavias & Stella Spilioti & Elias Tzavalis
• Panel Unit Root Tests with Structural Breaks (RePEc:bir:birmec:21-12)
  by Pengyu Chen & Yiannis Karavias & Elias Tzavalis
• Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes (RePEc:bla:econom:v:82:y:2015:i:328:p:912-937)
  by Thanassis Kazanas & Elias Tzavalis
• Structural Changes in Expected Stock Returns Relationships: Evidence from ASE (RePEc:bla:jbfnac:v:33:y:2006:i:9-10:p:1610-1628)
  by Evangelos Karanikas & George Leledakis & Elias Tzavalis
• Risk Premium Effects On Implied Volatility Regressions (RePEc:bla:jfnres:v:33:y:2010:i:2:p:125-151)
  by Leonidas S. Rompolis & Elias Tzavalis
• Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends (RePEc:bla:jtsera:v:37:y:2016:i:2:p:222-239)
  by Yiannis Karavias & Elias Tzavalis
• Monetary Policy Rules And Business Cycle Conditions (RePEc:bla:manchs:v:79:y:2011:i:s2:p:73-97)
  by Thanassis Kazanas & Apostolis Philippopoulos & Elias Tzavalis
• Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach (RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158)
  by Dimitris Christopoulos & Peter McAdam & Elias Tzavalis
• Inflation and Exchange Rate Regimes in Mexico (RePEc:bla:rdevec:v:4:y:2000:i:1:p:87-100)
  by Carmen A. Li & Apostolis Philippopoulos & Elias Tzavalis
• Generalized fixed‐T panel unit root tests (RePEc:bla:scjsta:v:46:y:2019:i:4:p:1227-1251)
  by Yiannis Karavias & Elias Tzavalis
• Panel Unit Root Tests with Structural Breaks (RePEc:boc:usug21:19)
  by Pengyu Chen & Yiannis Karavias & Elias Tzavalis
• Unveiling the monetary policy rule in euro area (RePEc:bog:wpaper:130)
  by Thanassis Kazanas & Elias Tzavalis
• On the determinants of NPLS: lessons from Greece (RePEc:bog:wpaper:220)
  by Evangelos Charalambakis & Yiannis Dendramis & Elias Tzavalis
• Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors (RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:41:n:4)
  by Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (RePEc:bpj:sndecm:v:19:y:2015:i:1:p:49-70:n:2)
  by Argyropoulos Efthymios & Tzavalis Elias
• Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8)
  by Papantonis Ioannis & Tzavalis Elias & Agapitos Orestis & Rompolis Leonidas S.
• Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms (RePEc:cpd:pd2002:b5-1)
  by Hugo Kruiniger & Elias Tzavalis
• The Refinement of Econometric Estimation and Test Procedures (RePEc:cup:cbooks:9780521870535)
  by None
• The Refinement of Econometric Estimation and Test Procedures (RePEc:cup:cbooks:9781107406247)
  by None
• Recovering Risk Neutral Densities from Option Prices: A New Approach (RePEc:cup:jfinqa:v:43:y:2008:i:04:p:1037-1053_01)
  by Rompolis, Leonidas S. & Tzavalis, Elias
• Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier (RePEc:ecb:ecbwps:20182136)
  by Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias
• Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach (RePEc:ecb:ecbwps:20192345)
  by Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias
• The Influence of VAR Dimensions on Estimator Biases (RePEc:ecm:emetrp:v:67:y:1999:i:1:p:163-182)
  by Karim M. Abadir & Kaddour Hadri & Elias Tzavalis
• Rejoinder to Comment by Doornik, Nielsen, and Rothenberg (RePEc:ecm:emetrp:v:71:y:2003:i:1:p:385-386)
  by Karim M. Abadir & Kaddour Hadri & Elias Tzavalis
• Detection of structural breaks in linear dynamic panel data models (RePEc:eee:csdana:v:56:y:2012:i:11:p:3020-3034)
  by De Wachter, Stefan & Tzavalis, Elias
• Testing for unit roots in short panels allowing for a structural break (RePEc:eee:csdana:v:76:y:2014:i:c:p:391-407)
  by Karavias, Yiannis & Tzavalis, Elias
• Modeling structural breaks in economic relationships using large shocks (RePEc:eee:dyncon:v:34:y:2010:i:3:p:417-436)
  by Kapetanios, G. & Tzavalis, E.
• Shifts in volatility driven by large stock market shocks (RePEc:eee:dyncon:v:55:y:2015:i:c:p:130-147)
  by Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias
• Policy regime changes and the long-run sustainability of fiscal policy: an application to Greece (RePEc:eee:ecmode:v:16:y:1998:i:1:p:71-86)
  by Makrydakis, Stelios & Tzavalis, Elias & Balfoussias, Athanassios
• Fiscal policy and politics: theory and evidence from Greece 1960-1997 (RePEc:eee:ecmode:v:18:y:2001:i:2:p:253-268)
  by Lockwood, Ben & Philippopoulos, Apostolis & Tzavalis, Elias
• The term premium and the puzzles of the expectations hypothesis of the term structure (RePEc:eee:ecmode:v:21:y:2004:i:1:p:73-93)
  by Tzavalis, Elias
• Forecasting economic activity from yield curve factors (RePEc:eee:ecofin:v:36:y:2016:i:c:p:293-311)
  by Argyropoulos, Efthymios & Tzavalis, Elias
• A fixed-T version of Breitung’s panel data unit root test (RePEc:eee:ecolet:v:124:y:2014:i:1:p:83-87)
  by Karavias, Yiannis & Tzavalis, Elias
• The persistence in volatility of the US term premium 1970-1986 (RePEc:eee:ecolet:v:49:y:1995:i:4:p:381-389)
  by Tzavalis, Elias & Wickens, M. R.
• Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models (RePEc:eee:ecolet:v:88:y:2005:i:1:p:91-96)
  by De Wachter, Stefan & Tzavalis, Elias
• Inference for unit roots in dynamic panels where the time dimension is fixed (RePEc:eee:econom:v:91:y:1999:i:2:p:201-226)
  by Harris, Richard D. F. & Tzavalis, Elias
• On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks (RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90)
  by Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis
• Are regime-shift sources of risk priced in the market? (RePEc:eee:empfin:v:28:y:2014:i:c:p:151-170)
  by Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias
• Level shifts in stock returns driven by large shocks (RePEc:eee:empfin:v:29:y:2014:i:c:p:41-51)
  by Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias
• Forecasting inflation from the term structure (RePEc:eee:empfin:v:3:y:1996:i:1:p:103-122)
  by Tzavalis, Elias & Wickens, M. R.
• Real term structure forecasts of consumption growth (RePEc:eee:empfin:v:33:y:2015:i:c:p:208-222)
  by Argyropoulos, Efthymios & Tzavalis, Elias
• The EMU effects on asset market holdings and the recent financial crisis (RePEc:eee:finana:v:42:y:2015:i:c:p:153-161)
  by Palaiodimos, George & Tzavalis, Elias
• A comparison of investors’ sentiments and risk premium effects on valuing shares (RePEc:eee:finlet:v:17:y:2016:i:c:p:1-6)
  by Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias
• Predicting default risk under asymmetric binary link functions (RePEc:eee:intfor:v:36:y:2020:i:3:p:1039-1056)
  by Dendramis, Y. & Tzavalis, E. & Varthalitis, P. & Athanasiou, E.
• Improving variance forecasts: The role of Realized Variance features (RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237)
  by Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias
• Credit risk modelling under recessionary and financially distressed conditions (RePEc:eee:jbfina:v:91:y:2018:i:c:p:160-175)
  by Dendramis, Y. & Tzavalis, E. & Adraktas, G.
• The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation (RePEc:eee:quaeco:v:80:y:2021:i:c:p:785-796)
  by Argyropoulos, Efthymios & Tzavalis, Elias
• Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects (RePEc:eee:reveco:v:79:y:2022:i:c:p:694-715)
  by Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias
• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model (RePEc:eee:stapro:v:135:y:2018:i:c:p:54-59)
  by Karavias, Yiannis & Symeonides, Spyridon D. & Tzavalis, Elias
• Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series (RePEc:eme:ceazzz:s0573-8555(05)76007-7)
  by George Kapetanios & Elias Tzavalis
• The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence (RePEc:exe:wpaper:9402)
  by Tzavalis, Elias & Wickens, Michael
• The Asymptotic Influence of VAR Dimension on Estimator Biases (RePEc:exe:wpaper:9406)
  by Abadir, Karim & Hadri, K. & Tzavalis, E.
• The Persistence in Volatility of the US Term Premium 1970-1986 (RePEc:exe:wpaper:9409)
  by Tzavalis, E. & Wickens, M.R.
• Regression-Based Tests for Persistence in Conditional Variances (RePEc:exe:wpaper:9501)
  by Psaradakis, Z. & Tzavalis, E.
• Forecasting Inflation from the Term Structure (RePEc:exe:wpaper:9519)
  by Tzavalis, E. & Wickens, M.R.
• Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece (RePEc:exe:wpaper:9601)
  by Makrydakis, S. & Tzavalis, E. & Balfoussias, A.
• Inference for Unit Roots in Dynamic Panels (RePEc:exe:wpaper:9604)
  by Harris, R. & Tzavalis, E.
• Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends (RePEc:exe:wpaper:9705)
  by Harris, Richard & Tzavalis, Elias
• 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? (RePEc:exe:wpaper:9711)
  by Tzavalis, Elias
• Tests of Structural Stability of Risk Premia and Returns Relationship (RePEc:exe:wpaper:9712)
  by Tzavalis, E. & Karanikas, E.
• Inflation and Exchange Rate Regimes in Mexico (RePEc:exe:wpaper:9801)
  by Li, C.A. & Philippopoulos, A. & Tzavalis, E.
• Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors (RePEc:exe:wpaper:9806)
  by Harris, R.D.F. & Tzavalis, E.
• Threshold Endogeneity in Threshold VARs: An Application to Monetary State Dependence (RePEc:fip:fedkrw:96762)
  by Dimitris Christopoulos & Peter McAdam & Elias Tzavalis
• Missing Values in Panel Data Unit Root Tests (RePEc:gam:jecnmx:v:10:y:2022:i:1:p:12-:d:772014)
  by Yiannis Karavias & Elias Tzavalis & Haotian Zhang
• A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests (RePEc:ijf:ijfiec:v:3:y:1998:i:3:p:229-39)
  by Tzavalis, Elias & Wickens, Michael
• Retrieving risk neutral moments and expected quadratic variation from option prices (RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z)
  by Leonidas S. Rompolis & Elias Tzavalis
• Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals (RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00937-2)
  by Yiannis Karavias & Stella Spilioti & Elias Tzavalis
• Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure (RePEc:mcb:jmoncb:v:29:y:1997:i:3:p:364-80)
  by Tzavalis, Elias & Wickens, Michael R
• The local power of fixed-T panel unit root tests allowing for serially correlated errors (RePEc:not:notgts:12/01)
  by Yiannis Karavias & Elias Tzavalis
• Generalized fixed-T panel unit root tests allowing for structural breaks (RePEc:not:notgts:12/02)
  by Yiannis Karavias & Elias Tzavalis
• The power performance of fixed-T panel unit root tests allowing for structural breaks (RePEc:not:notgts:13/01)
  by Yiannis Karavias & Elias Tzavalis
• Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors (RePEc:not:notgts:14/01)
  by Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis
• A fixed-T version of Breitung's panel data unit root test and its asymptotic local power (RePEc:not:notgts:14/02)
  by Yiannis Karavias & Elias Tzavalis
• Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite (RePEc:not:notgts:14/03)
  by Yiannis Karavias & Elias Tzavalis
• A comparison of investors' sentiments and risk premium effects on valuing shares (RePEc:not:notgts:15/01)
  by Yiannis Karavias & Stella Spilioti & Elias Tzavalis
• Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks (RePEc:pra:mprapa:43128)
  by Karavias, Yiannis & Tzavalis, Elias
• On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors (RePEc:pra:mprapa:43131)
  by Karavias, Yiannis & Tzavalis, Elias
• The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks (RePEc:pra:mprapa:46012)
  by Karavias, Yiannis & Tzavalis, Elias
• Option Pricing with a Dividend General Equilibrium Model (RePEc:qmw:qmwecw:425)
  by Kyriakos Chourdakis & Elias Tzavalis
• Option Pricing under Discrete Shifts in Stock Returns (RePEc:qmw:qmwecw:426)
  by Kyriakos Chourdakis & Elias Tzavalis
• Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms (RePEc:qmw:qmwecw:459)
  by Hugo Kruiniger & Elias Tzavalis
• Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary (RePEc:qmw:qmwecw:488)
  by Elias Tzavalis & Shijun Wang
• Detection of Structural Breaks in Linear Dynamic Panel Data Models (RePEc:qmw:qmwecw:505)
  by Stefan De Wachter & Elias Tzavalis
• Is the Currency Risk Priced in Equity Markets? (RePEc:qmw:qmwecw:511)
  by Francesco Giurda & Elias Tzavalis
• A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models (RePEc:qmw:qmwecw:514)
  by Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos
• Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset (RePEc:qmw:qmwecw:537)
  by George Kapetanios & Elias Tzavalis
• Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension (RePEc:qmw:qmwecw:550)
  by Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis
• Stochastic Volatility Driven by Large Shocks (RePEc:qmw:qmwecw:568)
  by George Kapetanios & Elias Tzavalis
• Unknown item RePEc:qmw:qmwecw:wp425 (paper)
• Unknown item RePEc:qmw:qmwecw:wp426 (paper)
• Unknown item RePEc:qmw:qmwecw:wp459 (paper)
• Unknown item RePEc:qmw:qmwecw:wp488 (paper)
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• Unknown item RePEc:qmw:qmwecw:wp511 (paper)
• Unknown item RePEc:qmw:qmwecw:wp514 (paper)
• Unknown item RePEc:qmw:qmwecw:wp524 (paper)
• Unknown item RePEc:qmw:qmwecw:wp537 (paper)
• Unknown item RePEc:qmw:qmwecw:wp550 (paper)
• Unknown item RePEc:qmw:qmwecw:wp568 (paper)
• Can country-specific interest rate factors explain the forward premium anomaly? (RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09509-5)
  by Efthymios Argyropoulos & Nikolaos Elias & Dimitris Smyrnakis & Elias Tzavalis
• What Drives the Default Risk of Restructured Loans (RePEc:spr:sprchp:978-3-030-73219-6_8)
  by Yannis Dendramis & Elias Tzavalis & Petros Varthalitis & Eleni Athanasiou
• Unknown item RePEc:taf:apfiec:v:9:y:1999:i:4:p:365-369 (article)
• On regression-based tests for persistence in logarithmic volatility models (RePEc:taf:emetrv:v:18:y:1999:i:4:p:441-448)
  by Zacharias Psaradakis & Elias Tzavalis
• 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 (RePEc:taf:emetrv:v:23:y:2004:i:2:p:149-166)
  by Richard Harris & Elias Tzavalis
• A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series (RePEc:taf:emetrv:v:30:y:2011:i:2:p:208-249)
  by Loukia Meligkotsidou & Elias Tzavalis & Ioannis Vrontos
• Local power of panel unit root tests allowing for structural breaks (RePEc:taf:emetrv:v:36:y:2017:i:10:p:1123-1156)
  by Yiannis Karavias & Elias Tzavalis
• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? (RePEc:taf:japsta:v:39:y:2012:i:9:p:1975-1990)
  by Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos
• Dealing With Endogeneity in Threshold Models Using Copulas (RePEc:taf:jnlbes:v:39:y:2021:i:1:p:166-178)
  by Dimitris Christopoulos & Peter McAdam & Elias Tzavalis
• Pricing and hedging contingent claims using variance and higher order moment swaps (RePEc:taf:quantf:v:17:y:2017:i:4:p:531-550)
  by Leonidas S. Rompolis & Elias Tzavalis
• Panel unit-root tests with structural breaks (RePEc:tsj:stataj:y:22:y:2022:i:3:p:664-678)
  by Pengyu Chen & Yiannis Karavias & Elias Tzavalis
• Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations (RePEc:wly:jforec:v:33:y:2014:i:7:p:515-531)
  by Yiannis Dendramis & Giles E. Spungin & Elias Tzavalis
• Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure (RePEc:yor:yorken:94/11)
  by Elias Tzavalis & Michael Wickens
• The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence (RePEc:yor:yorken:95/33)
  by Elias Tzavalis & Michael Wickens
• The Influence of VAR Dimensions on Estimator Biases (RePEc:yor:yorken:96/14)
  by Karim Abadir & Kaddour Hadri & Elias Tzavalis