Efstathios Paparoditis

University of Cyprus - Department of Mathematics and Statistics

P.O. Box 20537

1678 Nicosia

Cyprus

SCHOLARLY PAPERS

11

DOWNLOADS

216

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (11)

1.

Hedging political risk in international equity portfolios

Number of pages: 60 Posted: 24 Jul 2021 Last Revised: 03 Jun 2022
Giovanni Pagliardi, Somayyeh Lotfi, Efstathios Paparoditis and Stavros A. Zenios
BI Norwegian Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Mathematics and Statistics and University of Cyprus
Downloads 173 (237,528)

Abstract:

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Hedging, political risk, international diversification, equities markets, conditional Value-at-Risk, portfolio optimization.

2.

Testing the Fit of a Vector Autoregressive Moving Average Model

Journal of Time Series Analysis, Vol. 26, No. 4, pp. 543-568, July 2005
Number of pages: 26 Posted: 24 Jun 2005
Efstathios Paparoditis
University of Cyprus - Department of Mathematics and Statistics
Downloads 24 (663,904)

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3.

Bootstrapping the Local Periodogram of Locally Stationary Processes

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 264-299, March 2008
Number of pages: 36 Posted: 29 Feb 2008
Marios Sergides and Efstathios Paparoditis
affiliation not provided to SSRN and University of Cyprus - Department of Mathematics and Statistics
Downloads 15 (734,158)

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4.

Nonlinear Spectral Density Estimation: Thresholding the Correlogram

Journal of Time Series Analysis, Vol. 33, Issue 3, pp. 386-397, 2012
Number of pages: 12 Posted: 21 Apr 2012
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 2 (861,220)

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Autocovariance matrix, flat‐top lag‐windows, kernel smoothing, sparsity, thresholding, wavelets

5.

Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 356-379, 2018
Number of pages: 24 Posted: 16 Apr 2018
Maria Fragkeskou and Efstathios Paparoditis
University of Cyprus and University of Cyprus - Department of Mathematics and Statistics
Downloads 1 (875,349)
Citation 1

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Autoregression, bootstrap, higher order moment structure, weak dependence

6.

A Generalized Block Bootstrap for Seasonal Time Series

Journal of Time Series Analysis, Vol. 35, Issue 2, pp. 89-114, 2014
Number of pages: 26 Posted: 07 Feb 2014
Anna E. Dudek, Jacek Leśkow, Efstathios Paparoditis and Dimitris N. Politis
AGH University of Science and Technology, Cracow University of Technology - Department of Econometrics, University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 1 (875,349)

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Periodic time series, resampling, seasonality

7.

Testing Equality of Autocovariance Operators for Functional Time Series

Journal of Time Series Analysis, Vol. 41, Issue 4, pp. 571-589, 2020
Number of pages: 19 Posted: 30 Sep 2020
Dimitrios Pilavakis, Efstathios Paparoditis and Theofanis Sapatinas
University of Cyprus, University of Cyprus - Department of Mathematics and Statistics and University of Cyprus
Downloads 0 (892,524)

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Autocovariance operator, functional time series, hypothesis testing, moving block bootstrap

8.

A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of Their Support

Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 182-194, 2016
Number of pages: 13 Posted: 26 Jan 2016
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 0 (892,524)

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Central limit theorem, kernel smoothing, nonparametric estimation, overdifferencing, time series

9.

Inference for the Fourth‐Order Innovation Cumulant in Linear Time Series

Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 240-266, 2016
Number of pages: 27 Posted: 26 Jan 2016
Maria Fragkeskou and Efstathios Paparoditis
University of Cyprus and University of Cyprus - Department of Mathematics and Statistics
Downloads 0 (892,524)

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Bootstrap, fourth‐order cumulant, innovations, lag‐window estimation, pre‐whitening

10.

Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 416-441, 2015
Number of pages: 26 Posted: 24 Apr 2015
Carsten Jentsch, Dimitris N. Politis and Efstathios Paparoditis
University of Mannheim, University of California, San Diego (UCSD) - Department of Mathematics and University of Cyprus - Department of Mathematics and Statistics
Downloads 0 (892,524)
Citation 1

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Block bootstrap, bootstrap consistency, spurious regression, functional limit theorem, continuous‐path block bootstrap, model‐based block bootstrap subclass

11.

Unit Root Testing Via the Continuous-Path Block Bootstrap

UCSD Economics Discussion Paper No. 2001-06
Posted: 16 Jul 2001
Efstathios Paparoditis and Dimitris N. Politis
University of Cyprus - Department of Mathematics and Statistics and University of California, San Diego (UCSD) - Department of Mathematics

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Block-Bootstrap, Integrated Series, Resampling, Nonstationary Data