Browsing by Author "Andreou, Elena"
Now showing items 21-40 of 44
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Article
On modelling speculative prices: the empirical literature
Andreou, Elena; Pittis, Nikitas; Spanos, Aris (2001)Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in ...
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Article
On the use of high frequency measures of volatility in MIDAS regressions
Andreou, Elena (2016)Many empirical studies link mixed data frequency variables such as low frequency macroeconomic or financial variables with high frequency financial indicators’ volatilities, especially within a predictive regression model ...
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Book
Predicting the VIX and the volatility risk premium : what's credit and commodity volatility risk got to do with it?
Andreou, Elena; Ghysels, Eric (2014)
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Article
Quality control for structural credit risk models
Andreou, Elena; Ghysels, Eric (2008)Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...
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Article
Regression models with mixed sampling frequencies
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2010)We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional ...
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Article
Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. (2015)This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial ...
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Article
Restoring monotone power in the CUSUM test
Andreou, Elena (2008)This paper shows that a near-stationarity boundary condition for heteroskedastic and autocorrelation consistent estimators can solve the problem of non-monotone power of the CUSUM test for a single break in the mean of a ...
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Article
Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results
Andreou, Elena; Ghysels, Eric (2002)We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. ...
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Book Chapter
Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena; Ghysels, Eric (Elsevier JAI, 2006)
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Book
Should macroeconomic forecasters use daily financial data and how?
Andreou, Elena; Kourtellos, Andros; Ghysels, Eric (2012)
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Book
Should macroeconomic forecasters use daily financial data and how?
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2010)
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Article
Should Macroeconomic Forecasters Use Daily Financial Data and How?
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2013)We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also ...
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Book
Should macroeconomic forecasters use daily financial data and how?
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2010)
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Book
A simple asymptotic analysis of residual-based statistics
Andreou, Elena; Werker, Bas J. M. (2003)
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Article
The state and the future of Cyprus macroeconomic forecasting
Andreou, Elena; Kourtellos, Andros (2015)
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Book
The state of Cyprus macroeconomic forecasting
Andreou, Elena; Kourtellos, Andros (2014)
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Article
Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
Andreou, Elena; Spanos, Aris (2003)The debate on whether macroeconomic series are trend or difference stationary, initiated by Nelson and Plosser [Nelson, C. R.
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Article
Stock and foreign exchange market linkages in emerging economies
Andreou, Elena; Matsi, Maria; Savvides, Andreas (2013)This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive ...
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Book
Structural break tests robust to regression misspecification
Morshed, Alaa Abi; Andreou, Elena; Boldea, Otilia (2016)
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Book Chapter
Structural breaks in financial time series
Andreou, Elena; Ghysels, Eric (Springer, 2009)