Elias Tzavalis

University of London - Queen Mary - Department of Economics

Mile End Road

London, E1 4NS

United Kingdom

http//www.qmw.ac.uk/~ugte184/

SCHOLARLY PAPERS

15

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CITATIONS
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in Total Papers Citations

21

Scholarly Papers (15)

1.

Pricing American Option Based on a Chebyshev Approximation of the Early Exercise Boundary

Number of pages: 35 Posted: 24 Feb 2002
Elias Tzavalis and Shijun Wang
University of London - Queen Mary - Department of Economics and Queen Mary, University of London - Department of Economics
Downloads 315 (75,106)

Abstract:

American option price, early exercise boundary, Chebyshev approximation, stochastic volatility

2.

Pricing American Options Under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

U of London Queen Mary Economics Working Paper No. 488
Number of pages: 46 Posted: 17 May 2003
Elias Tzavalis and Shijun Wang
University of London - Queen Mary - Department of Economics and Queen Mary, University of London - Department of Economics
Downloads 257 (92,032)
Citation 7

Abstract:

3.

Option Pricing Under Discrete Shifts in Stock Returns

Number of pages: 54 Posted: 17 Mar 2001
Kyriakos Chourdakis and Elias Tzavalis
FitchSolutions and University of London - Queen Mary - Department of Economics
Downloads 251 (95,019)
Citation 5

Abstract:

Markov regime switching, Option pricing, Volatility smile.

4.

Is the Currency Risk Priced in Equity Markets?

Queen Mary, University of London Economics Working Paper No. 511
Number of pages: 26 Posted: 07 Mar 2004
Francesco Giurda and Elias Tzavalis
ABN AMRO Bank N.V. and University of London - Queen Mary - Department of Economics
Downloads 248 (99,386)

Abstract:

International asset pricing, Currency risk, Multivariate EGARCH, Density forecast, Dynamic hedging strategies

5.

Option Pricing with a Dividend General Equilibrium Model

Number of pages: 45 Posted: 01 Dec 2000
Kyriakos Chourdakis and Elias Tzavalis
FitchSolutions and University of London - Queen Mary - Department of Economics
Downloads 218 (112,658)
Citation 2

Abstract:

Markov regime switching, Option pricing, Risk aversion, Volatility smile

6.

On Bayesian Analysis and Unit Root Testing for Autoregressive Models in the Presence of Multiple Structural Breaks

Number of pages: 34 Posted: 27 Feb 2007 Last Revised: 29 Jan 2016
University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 117 (173,783)

Abstract:

Autoregressive models, Bayesian inference, Forward-backward algorithm, Model comparison, Non-linear representation, Structural breaks, Unit root testing

7.

A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models of economic series

Queen Mary, University of London Economics Working Paper No. 514
Number of pages: 43 Posted: 26 Jul 2004
University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 99 (211,224)
Citation 1

Abstract:

Bayesian inference, model comparison, autoregressive models, unit roots, structural breaks

8.

Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms

U of London Queen Mary Economics Working Paper No. 459
Number of pages: 24 Posted: 24 Jun 2002
Hugo Kruiniger and Elias Tzavalis
Durham University and University of London - Queen Mary - Department of Economics
Downloads 75 (255,854)
Citation 5

Abstract:

9.

A Bayesian Analysis of Unit Roots in Panel Data Models with Cross-Sectional Dependence

Number of pages: 14 Posted: 29 Jan 2009
University of Athens, University of London - Queen Mary - Department of Economics and Athens University of Economics and Business
Downloads 69 (259,684)

Abstract:

Autoregressive models, Bayesian inference, Cross-sectional dependence, Model comparison, Panel data, Unit root testing

10.

Book reviews

Economica, Vol. 69, pp. 173-181, 2002
Number of pages: 9 Posted: 18 Mar 2003
London School of Economics & Political Science (LSE), Rice University, University of Oxford - Department of Economics, Imperial College London - Imperial College of Science, Technology and Medicine, London School of Economics & Political Science (LSE), University of London - Queen Mary - Department of Economics and University of Exeter Business School - Department of Economics
Downloads 22 (430,559)

Abstract:

11.

Structural Changes in Expected Stock Returns Relationships: Evidence from ASE

Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1610-1628, November/December 2006
Number of pages: 19 Posted: 07 Dec 2006
HSBC Pantelakis Securities, Athens University of Economics and Business - Department of Accounting and Finance and University of London - Queen Mary - Department of Economics
Downloads 21 (435,726)
Citation 1

Abstract:

12.

The Rational Expectations Hypothesis of the Term Structure: The Evidence

London Business School Institute of Finance and Accounting Working Paper 185
Posted: 16 Sep 1999
Elias Tzavalis and Michael R. Wickens
University of London - Queen Mary - Department of Economics and University of Cardiff; Centre for Economic Policy Research (CEPR)

Abstract:

13.

Inflation and Exchange Rate Regimes in Mexico

Review of Development Economics
Posted: 24 Aug 1998
University of Essex - Department of Economics, Athens University of Economics and Business - Department of Economics and University of London - Queen Mary - Department of Economics

Abstract:

14.

Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends

A1.286 WP 97/05
Posted: 15 Jan 1998
Richard D. F. Harris and Elias Tzavalis
University of Exeter - Business School and University of London - Queen Mary - Department of Economics

Abstract:

15.

Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure

JOURNAL OF MONEY, CREDIT, AND BANKING, Vol 28 No 3, August 1997
Posted: 07 Apr 1997
Elias Tzavalis and Michael R. Wickens
University of London - Queen Mary - Department of Economics and University of Cardiff; Centre for Economic Policy Research (CEPR)

Abstract: