Elena Andreou

University of Cyprus - Department of Economics

Associate Professor

75 Kallipoleos Street

P.O. Box 20537

1678 Nicosia

Cyprus

SCHOLARLY PAPERS

21

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127

CROSSREF CITATIONS

30

Scholarly Papers (21)

1.

Structural Breaks in Financial Time Series

Number of pages: 55 Posted: 31 Dec 2007 Last Revised: 18 Sep 2012
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 2,088 (7,779)
Citation 4

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Structural change, historical tests, sequential tests

2.

Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with It?

Number of pages: 51 Posted: 16 Oct 2014
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 604 (49,202)

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Factor asset pricing models, ARCH filters

3.

Should Macroeconomic Forecasters Use Daily Financial Data and How?

Number of pages: 66 Posted: 20 Nov 2010
Elena Andreou, Eric Ghysels and Andros Kourtellos
University of Cyprus - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Cyprus - Department of Economics
Downloads 588 (50,913)
Citation 37

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MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Number of pages: 34 Posted: 21 Jun 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 355 (93,122)
Citation 10

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Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Journal of Business and Economic Statistics, Forthcoming
Posted: 04 Sep 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School

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Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data

5.

Detecting Multiple Breaks in Financial Market Volatility Dynamics

Number of pages: 35 Posted: 12 Jun 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 350 (95,381)
Citation 30

Abstract:

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change-point, break dates, ARCH, high-frequency data

Inference in Group Factor Models with an Application to Mixed Frequency Data

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48 Posted: 13 Feb 2016 Last Revised: 02 Feb 2019
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 341 (97,512)
Citation 39

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Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth

Is Industrial Production Still the Dominant Factor for the US Economy?

CEPR Discussion Paper No. DP12219
Number of pages: 87 Posted: 15 Aug 2017
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
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GDP growth, Group Factor models, MIDAS

7.

Quality Control for Structural Credit Risk Models

Number of pages: 33 Posted: 29 Aug 2006
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 305 (111,055)
Citation 3

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Structural Change, Sequential Tests Merton Model

8.

Monitoring for Disruptions in Financial Markets

Number of pages: 62 Posted: 04 Apr 2005
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 181 (185,233)
Citation 1

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Structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power

9.
Downloads 149 (218,662)
Citation 1

Is Volatility Good for Growth? Evidence from the G7

CEIS Working Paper No. 114
Number of pages: 34 Posted: 03 Apr 2008
University of Cyprus - Department of Economics, University of Rome Tor Vergata, Department of Economics and Finance, Students and University of Manchester
Downloads 75 (354,705)
Citation 4

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growth uncertainty, learning-by-doing, monetary uncertainty, multivariate

Is Volatility Good for Growth? Evidence from the G7

CEIS Working Paper No. 258
Number of pages: 52 Posted: 08 Jan 2013 Last Revised: 24 Jan 2014
University of Cyprus - Department of Economics, University of Rome II, Department of Economics and University of Manchester
Downloads 74 (357,486)

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growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity

Residual-Based Rank Specification Tests for AR-GARCH Type Models

Number of pages: 52 Posted: 20 Jul 2013
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 123 (255,118)

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Conditional heteroskedasticity, Linear and quadratic residual auto- correlation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests

Residual-Based Rank Specification Tests for AR-GARCH Type Models

CEPR Discussion Paper No. DP9583
Number of pages: 54 Posted: 08 Aug 2013
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
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conditional heteroskedasticity, linear and quadratic residual autocorrelation tests, model misspecification test, nonlinear time series, parameter constancy, residual symmetry tests

11.

A Simple Asymptotic Analysis of Residual-Based Statistics

CentER Discussion Paper No. 2003-118
Number of pages: 29 Posted: 16 Jul 2004
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 91 (312,498)

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Asymptotic size, discretized estimators, goodness-of-fit tests, local asymptotic normality, rank statistics, structural break tests, temporal dependence tests, two-stage inference

12.

An Alternative Asymptotic Analysis of Residual-Based Statistics

CentER Discussion Paper No. 2004-56
Number of pages: 39 Posted: 03 Sep 2004
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 69 (367,388)
Citation 4

Abstract:

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Statistics, estimation, testing

13.

Structural Break Tests Robust to Regression Misspecification

CentER Discussion Paper Series No. 2016-019
Number of pages: 39 Posted: 10 May 2016 Last Revised: 26 May 2016
Alaa Abi Morshed, Elena Andreou and Otilia Boldea
Lancaster University, University of Cyprus - Department of Economics and Tilburg University, CentER
Downloads 44 (452,611)

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structural change, sup Wald test, dynamic misspecification

14.
Downloads 16 (603,227)
Citation 1

Inflation Expectations and Monetary Policy in Europe

CEPR Discussion Paper 11306
Number of pages: 46 Posted: 06 Jun 2016
University of Cyprus - Department of Economics, University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History and University of Cyprus
Downloads 16 (625,388)

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Inflation expectations, monetary policy, shocks, Crisis

Inflation Expectations and Monetary Policy in Europe

CEPR Discussion Paper No. DP11306
Number of pages: 49 Posted: 07 Jun 2016
University of Cyprus - Department of Economics, University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History and University of Cyprus
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Citation 1
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crisis, Inflation expectations, Monetary policy, shocks

15.

Inflation Expectations and Monetary Policy Surprises

The Scandinavian Journal of Economics, Vol. 122, Issue 1, pp. 306-339, 2020
Number of pages: 34 Posted: 06 Jun 2020
University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History, University of Cyprus and University of Cyprus - Department of Economics
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Beliefs, crisis, imperfect information, rational inattention, shocks

16.

On the Use of High Frequency Measures of Volatility in MIDAS Regressions

CEPR Discussion Paper No. DP11307
Number of pages: 48 Posted: 07 Jun 2016
Elena Andreou
University of Cyprus - Department of Economics
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bias, efficiency, high-frequency volatility estimators, MIDAS regression model

17.

Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with it?

CEPR Discussion Paper No. DP10236
Number of pages: 53 Posted: 10 Nov 2014
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
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ARCH filters, Factor asset pricing models

Nonparametric Predictive Regression

Cowles Foundation Discussion Paper No. 1878
Posted: 22 Sep 2012
University of Cyprus - Department of Economics, University of Cyprus - Department of Economics and Yale University - Cowles Foundation

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Functional regression, Nonparametric predictability test, Nonparametric regression, Stock returns, Predictive regression

Nonparametric Predictive Regression

CEPR Discussion Paper No. DP9570
Posted: 24 Jul 2013
University of Cyprus - Department of Economics, University of Cyprus - Department of Economics and Yale University - Cowles Foundation

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functional regression, nonparametric predictability test, nonparametric regression, predictive regression, stock returns

19.

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 290-318, 2004
Posted: 29 Feb 2008
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School

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change-point tests, CUSUM, GARCH, high-frequency data, Kolmogorov-Smirnov, location-scale distribution family, power variation, quadratic variation

20.

Regression Models With Mixed Sampling Frequencies

Posted: 20 Nov 2007
Elena Andreou, Eric Ghysels and Andros Kourtellos
University of Cyprus - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Cyprus - Department of Economics

Abstract:

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MIDAS regressions

21.

A Comparison of the Statistical Properties of Financial Variables in the USA, UK and Germany Over the Business Cycle

Posted: 22 Sep 2001
Elena Andreou, Denise R. Osborn and Marianne Sensier
University of Cyprus - Department of Economics, University of Manchester - School of Social Sciences and University of Manchester

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