Elena Andreou

University of Cyprus - Department of Economics

Associate Professor

75 Kallipoleos Street

P.O. Box 20537

1678 Nicosia

Cyprus

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 8,429

SSRN RANKINGS

Top 8,429

in Total Papers Downloads

4,537

CITATIONS
Rank 5,145

SSRN RANKINGS

Top 5,145

in Total Papers Citations

101

Scholarly Papers (20)

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 1,677 (6,436)
Citation 6

Abstract:

Structural change, historical tests, sequential tests

2.

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 399 (48,407)
Citation 4

Abstract:

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

3.

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 383 (43,242)

Abstract:

Factor asset pricing models, ARCH filters

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 340 (72,647)
Citation 37

Abstract:

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

Abstract:

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 303 (77,375)
Citation 36

Abstract:

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

6.

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 281 (84,641)
Citation 3

Abstract:

Structural Change, Sequential Tests Merton Model

7.

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 153 (151,944)
Citation 10

Abstract:

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

8.
Downloads 137 (178,525)
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, affiliation not provided to SSRN and University of Manchester
Downloads 73 (277,884)
Citation 1

Abstract:

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 64 (299,092)
Citation 1

Abstract:

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

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

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 84 Posted: 13 Feb 2016 Last Revised: 17 Sep 2016
University of Cyprus - Department of Economics, University of Lugano and Swiss Finance Institute, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 114 (206,826)

Abstract:

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 University of Bristol
Downloads 1 (582,940)
  • Add to Cart

Abstract:

GDP growth, Group Factor models, MIDAS

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 110 (212,343)

Abstract:

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)
Downloads 0
  • Add to Cart

Abstract:

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 74 (258,810)
Citation 2

Abstract:

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 51 (310,557)
Citation 2

Abstract:

Statistics, estimation, testing

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 Cyprus and University of Cyprus
Downloads 10 (525,031)

Abstract:

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 Cyprus and University of Cyprus
Downloads 0
  • Add to Cart

Abstract:

crisis, Inflation expectations, Monetary policy, shocks

14.

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
Downloads 0 (568,467)
  • Add to Cart

Abstract:

bias, efficiency, high-frequency volatility estimators, MIDAS regression model

15.

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 0 (390,462)

Abstract:

structural change, sup Wald test, dynamic misspecification

16.

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
Downloads 0 (568,467)
  • Add to Cart

Abstract:

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

Abstract:

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

Abstract:

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

18.

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

Abstract:

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

19.

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:

MIDAS regressions

20.

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

Manchester School, Vol. 68, No. 4, June 2000
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

Abstract: