Browsing by Author "Andreou, Elena"

Article

An alternative asymptotic analysis of residual-based statistics

Andreou, Elena; Werker, Bas J. M. (2012)

This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with ...

Article

The behaviour of stock returns and interest rates over the business cycle in the US and UK

Andreou, Elena; Desiano, Rita; Sensier, Marianne (2001)

The paper studies the dynamic behaviour of the conditional mean and volatility of weekly financial variables in relation to the business cycle for the USA and UK economies. The mean US S&P stock returns steadily increases ...

Article

Comment

Andreou, Elena; Ghysels, Eric (2014)

Article

A comparison of the statistical properties of financial variables in the USA, UK and Germany over the business cycle

Andreou, Elena; Osborn, Denise R.; Sensier, Marianne (2000)

This paper presents business cycle stylized facts for the US, UK and German economies. We examine whether financial variables (interest rates, stock market price indices, dividend yields and monetary aggregates) predict ...

Book Chapter

Cyprus economy in the last three decades (1960-94) : an applied econometric approach

Andreou, Elena (Printed by Lithographica, 1996)

Article

Detecting multiple breaks in financial market volatility dynamics

Andreou, Elena; Ghysels, Eric (2002)

The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as ...

Book

The effect of nominal shock uncertainty on output growth

Andreou, Elena; Pelloni, Alessandra; Sensier, Marianne; Growth, Centre for; Research, Business Cycle (2003)

Book

Forecasting toolbox for Cyprus GDP growth

Andreou, Elena; Kourtellos, Andros; Pashourtidou, Nicoletta (2010)

Book

Forecasting with mixed-frequency data

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2010)

Book Chapter

Forecasting with Mixed-Frequency Data

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (Oxford University Press, 2012)

This article, which presents a regression framework that relates the quarterly macro variable (such as GDP growth) to higher-frequency variables in a relatively simple, parsimonious way, is organized as follows. Section 2 ...

Article

The impact of sampling frequency and volatility estimators on change-point tests

Andreou, Elena; Ghysels, Eric (2004)

The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes ...

Article

Inference in Group Factor Models With an Application to Mixed-Frequency Data

Andreou, Elena; Gagliardini, P.; Ghysels, E.; Rubin, M. (2019)

We derive asymptotic properties of estimators and test statistics to determine—in a grouped data setting—common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under ...

Report

Inflation Expectations and Monetary Policy in Europe

Andreou, Elena; Eminidou, Snezana; Zachariadis, Marios (Social Science Research Network, 2016)

We use monthly data across fifteen euro-area economies for the period 1985:1-2015:3 to obtain different monetary policy shocks pertaining to more versus less informed individuals. We then investigate how these affect ...

Working Paper

Inflation expectations and monetary policy surprises

Andreou, Elena; Eminidou, Snezana; Zachariadis, Marios (2017-01)

We use monthly data across fifteen euro-area economies for the period 1985:1-2015:3 to obtain monetary policy changes that can be regarded as surprises for different types of consumers. A novel feature of our empirical ...

Book

Is industrial production still the dominant factor for the US Economy?

Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco (2016)

Book

Is volatility good for growth? evidence from the G7

Andreou, Elena; Pelloni, Alessandra; Sensier, Marianne (2008)

Article

Monitoring disruptions in financial markets

Andreou, Elena; Ghysels, Eric (2006)

We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...

Article

Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...

Book

Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2013)

Book

Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2012)