Zacharias Psaradakis

University of London - Economics, Mathematics and Statistics

Lecturer in Financial Economics

7-15 Gresse Street

London, WC1E 7HX

United Kingdom

http://www.econ.bbk.ac.uk/faculty/psaradakis/

SCHOLARLY PAPERS

13

DOWNLOADS

195

SSRN CITATIONS
Rank 14,670

SSRN RANKINGS

Top 14,670

in Total Papers Citations

3

CROSSREF CITATIONS

55

Scholarly Papers (13)

1.

Multivariate Contemporaneous Threshold Autoregressive Models

FRB of St. Louis Working Paper No. 2007-019A
Number of pages: 30 Posted: 15 May 2007
Michael Dueker, Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 106 (256,752)
Citation 3

Abstract:

Loading...

Nonlinear autoregressive models, Smooth transition, Stability, Threshold

2.

Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes

Number of pages: 53 Posted: 20 Dec 2016
Demian Pouzo, Zacharias Psaradakis and Martín Sola
University of California, Berkeley - Department of Economics, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella
Downloads 30 (471,170)
Citation 1

Abstract:

Loading...

Autoregressive model, consistency, hidden Markov model, Markov regimes, maximum likelihood, local asymptotic normality, misspecified models, time-inhomogenous Markov chain

3.

Markov Switching Causality and the Money-Output Relationship

CEPR Discussion Paper No. 3803
Number of pages: 30 Posted: 23 Apr 2003
Zacharias Psaradakis, Morten O. Ravn and Martín Sola
University of London - Economics, Mathematics and Statistics, European University Institute - Economics Department (ECO) and Universidad Torcuato Di Tella
Downloads 24 (503,073)
  • Add to Cart

Abstract:

Loading...

Granger causality, Markov chain, regime switching, structural instability

4.

Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 753-766, September 2006
Number of pages: 14 Posted: 22 Mar 2007
Zacharias Psaradakis and Nicola Spagnolo
University of London - Economics, Mathematics and Statistics and Brunel University London - Economics and Finance
Downloads 18 (538,136)
  • Add to Cart

Abstract:

Loading...

5.

On the Autocorrelation Properties of Long-Memory GARCH Processes

Journal of Time Series Analysis, Vol. 25, No. 2, pp. 265-282, March 2004
Number of pages: 17 Posted: 26 Apr 2004
Menelaos Karanasos, Zacharias Psaradakis and Martín Sola
University of York - Department of Economics and Related Studies, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella
Downloads 13 (568,189)
  • Add to Cart

Abstract:

Loading...

Autocorrelation function, fractionally integrated GARCH process, long-memory GARCH process

6.

Selecting Nonlinear Time Series Models Using Information Criteria

Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 369-394, July 2009
Number of pages: 26 Posted: 20 Jun 2009
Zacharias Psaradakis, Martín Sola, Fabio Spagnolo and Nicola Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 2 (644,716)
  • Add to Cart

Abstract:

Loading...

Assessing Time-Reversibility Under Minimal Assumptions

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 881-905, September 2008
Number of pages: 25 Posted: 15 Aug 2008
Zacharias Psaradakis
University of London - Economics, Mathematics and Statistics
Downloads 2 (675,537)
  • Add to Cart

Abstract:

Loading...

Assessing Time‐Reversibility Under Minimal Assumptions

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 881-905, 2008
Number of pages: 25 Posted: 18 Jan 2014
Zacharias Psaradakis
University of London - Economics, Mathematics and Statistics
Downloads 0
  • Add to Cart

Abstract:

Loading...

Bootstrap, confidence intervals, resampling, strong mixing, subsampling, time reversibility, 60G10, 62G09, 62M10

8.

A Quantile‐Based Test for Symmetry of Weakly Dependent Processes

Journal of Time Series Analysis, Vol. 36, Issue 4, pp. 587-598, 2015
Number of pages: 12 Posted: 03 Jun 2015
Zacharias Psaradakis and Marián Vávra
University of London - Economics, Mathematics and Statistics and National Bank of Slovakia
Downloads 0 (674,275)
  • Add to Cart

Abstract:

Loading...

Empirical quantiles, skewness, symmetry, weak dependence

9.

State‐Dependent Threshold Smooth Transition Autoregressive Models

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 835-854, 2013
Number of pages: 20 Posted: 22 Nov 2013
Michael Dueker, Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 0 (674,275)
  • Add to Cart

Abstract:

Loading...

10.

Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes

Journal of Forecasting, Forthcoming
Posted: 07 Dec 2004
Zacharias Psaradakis and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics and Brunel University London - Economics and Finance

Abstract:

Loading...

Error-correction model, forecasting, Markov-switching model, Monte Carlo experiments

11.

On Markov Error-Correction Models, with an Application to Stock Prices and Dividends

Journal of Applied Econometrics, Vol. 19, pp. 69-88, 2004
Posted: 06 Dec 2004
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

Loading...

Cointegration, Error-correction model, Markov chain, Stock prices

12.

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Journal of Applied Econometrics, Forthcoming
Posted: 06 Dec 2004
Fabio Spagnolo, Zacharias Psaradakis and Martín Sola
Brunel University London - Economics and Finance, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella

Abstract:

Loading...

Instrumental variables, forward exchange rate, Markov chain, maximum likelihood, Regime switching

13.

A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

Economics Letters, Vol. 72, pp. 317-323, 2001
Posted: 05 Dec 2004
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

Loading...

Rational bubbles, stochastic unit root, time-varying coefficients