Alexandros Paraskevopoulos

The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras

Researcher

Patra

Greece

SCHOLARLY PAPERS

4

DOWNLOADS

248

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach

Number of pages: 36 Posted: 29 Mar 2014
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras, Brunel University London, Aston University and Brunel University London
Downloads 115 (262,012)
Citation 3

Abstract:

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financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers

2.

A Univariate Time Varying Analysis of Periodic ARMA Processes

Number of pages: 26 Posted: 21 Mar 2014 Last Revised: 22 Mar 2014
Menelaos Karanasos, Alexandros Paraskevopoulos and Stavros Dafnos
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras and Brunel University London - Department of Social Sciences, Media and Communications
Downloads 71 (355,255)
Citation 3

Abstract:

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covariance structure, homogeneous and particular solutions, optimal predictors, periodic ARMA models

3.

The Fundamental Properties of Time Varying AR Models with Non Stochastic Coefficients

Number of pages: 31 Posted: 21 Mar 2014
Menelaos Karanasos, Alexandros Paraskevopoulos and Stavros Dafnos
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras and Brunel University London - Department of Social Sciences, Media and Communications
Downloads 50 (421,750)
Citation 2

Abstract:

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abrupt breaks, covariance structure, cyclical processes, homogeneous and particular solutions, optimal predictors, periodic AR models

4.

Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients

EST Working Paper Series, University of Turin
Number of pages: 33 Posted: 12 Feb 2020
Alessandra Canepa, Menelaos Karanasos and Alexandros Paraskevopoulos
University of Turin, Brunel University London - Economics and Finance and The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras
Downloads 12 (619,932)

Abstract:

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Inflation persistence, GARCH-in Mean, structural breaks, Monte Carlo simulations, optimal forecasts