Elias Tzavalis

Athens University of Economics and Business - Department of Economics

76 Patission Street

GR-10434 Athens

Greece

SCHOLARLY PAPERS

21

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1,729

SSRN CITATIONS
Rank 17,619

SSRN RANKINGS

Top 17,619

in Total Papers Citations

23

CROSSREF CITATIONS

39

Scholarly Papers (21)

1.

Retrieving Risk Neutral Moments and Expected Quadratic Variation from Option Prices

Review of Quantitative Finance and Accounting, Vol. 48, No. 4, 2017
Number of pages: 68 Posted: 11 Oct 2006 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 394 (92,292)
Citation 4

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Risk neutral moments; characteristic function; expected quadratic variation; jump component.

2.

Risk Premium Effects on Implied Volatility Regressions

Journal of Financial Research, Forthcoming
Number of pages: 34 Posted: 03 Mar 2008 Last Revised: 13 Jan 2009
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 279 (134,829)
Citation 2

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Implied volatility, risk neutral cumulants, risk aversion

3.

Forecasting VAR Models in the Presence of Regime Shifts in Variance and Egarch Effects

Number of pages: 30 Posted: 12 Feb 2012
Yiannis Dendramis, Giles E. Spungin and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, affiliation not provided to SSRN and Athens University of Economics and Business - Department of Economics
Downloads 140 (252,527)
Citation 1

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Risk measures, Value at Risk, EGARCH and Regime-Switching models, Asymmetric volatility, Extreme value theory, Forecasting performance tests

4.

Are Regime Shift Risks Priced in Asset Markets?

Number of pages: 37 Posted: 29 Jan 2011
Nomura International Plc, University of Cyprus - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 124 (276,978)

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European call prices, market regime shifts, Markov regime switching model, implied volatility, occupation time, price of risk

5.

Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps

Quantitative Finance 47(4), 2017, p. 531-550
Number of pages: 40 Posted: 19 Dec 2012 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 119 (285,506)
Citation 3

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Variance swaps, higher-order moment swaps, volatility and jump risks, hedging strategies

6.

Shifts in Volatility Driven by Large Stock Market Shocks

Number of pages: 43 Posted: 08 Apr 2012
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 85 (356,286)
Citation 1

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Stochastic volatility, structural breaks

7.

Credit Risk Modelling Under Recessionary and Financial Distressed Conditions

Number of pages: 47 Posted: 18 Apr 2016 Last Revised: 06 Apr 2017
Yiannis Dendramis, Elias Tzavalis and Georgios Adraktas
University of Cyprus - Department of Accounting and Finance, Athens University of Economics and Business - Department of Economics and Alpha Bank
Downloads 84 (358,872)
Citation 1

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mortgage loans, survival analysis, structural breaks, …financial distressed conditions, probability of default

8.

Forecasting Economic Activity from Yield Curve Factors

Number of pages: 21 Posted: 04 Apr 2013
Efthymios Argyropoulos and Elias Tzavalis
Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
Downloads 74 (386,117)
Citation 1

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9.

Structural Breaks in Stock Returns Driven by Large Shocks

Number of pages: 23 Posted: 28 Sep 2013 Last Revised: 30 Sep 2013
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 66 (410,747)

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expected returns, structural breaks, large shocks, state space model, regime-shifts, threshold models

10.

Term Spread Regressions of the Rational Expectations Hypothesis of the Term Structure Allowing for Risk Premium Effects

Number of pages: 37 Posted: 02 Feb 2013
Efthymios Argyropoulos and Elias Tzavalis
Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
Downloads 66 (410,747)
Citation 1

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Rational Expectations Hypothesis, Term Structure of Interest Rates, Time-Varying Term Premium, Dynamic Term Structure Models, Principal Component Analysis

11.

Measuring the Default Risk of Small Business Loans: Improved Credit Risk Prediction using Deep Learning

Number of pages: 37 Posted: 23 Jan 2021 Last Revised: 19 Feb 2021
University of Cyprus - Department of Accounting and Finance, Athens University of Economics and Business - Department of Economics and affiliation not provided to SSRN
Downloads 52 (460,357)

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Business Loans, Probability of Default, Deep Learning, Artificial Neural Networks, Logit, Skewed-Logit, Bootstrap Methods, Roc Curve, Type I and II Errors

12.

Dealing with Endogeneity in Threshold Models Using Copulas: An Illustration to the Foreign Trade Multiplier

ECB Working Paper No. 2136, ISBN: 978-92-899-3241-7
Number of pages: 40 Posted: 19 Mar 2018
Dimitris Christopoulos, Peter McAdam and Elias Tzavalis
MODUL University of Vienna, European Central Bank (ECB) and Athens University of Economics and Business - Department of Economics
Downloads 50 (468,312)
Citation 3

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Threshold model, SUR systems, Copulas, Kourtellos et al.(2016), foreign trade multiplier

13.

Recovering Risk Neutral Densities from Option Prices: A New Approach

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, pp. 1037-1054, 2008
Number of pages: 26 Posted: 11 Oct 2006 Last Revised: 07 Jun 2017
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 44 (493,476)
Citation 4

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Risk neutral density, Risk neutral moments, Gram-Charlier series expansion

14.

Retrieving Inflation Expectations and Risk Premia Effects from the Term Structure of Interest Rates

Number of pages: 31 Posted: 14 Oct 2014
Efthymios Argyropoulos and Elias Tzavalis
Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
Downloads 35 (536,018)
Citation 3

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Term Structure of Interest Rates, Gaussian Dynamic Term Structure Model, Principal Components, In‡flation Risk Premia.

15.

Predicting Default Risk under Asymmetric Binary Link Functions

Number of pages: 33 Posted: 11 Mar 2019
University of Cyprus - Department of Accounting and Finance, Athens University of Economics and Business - Department of Economics, Economic and Social Research Institute, Dublin and affiliation not provided to SSRN
Downloads 32 (551,857)

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Survival analysis, Credit Risk, Consumer Loans, Asymmetric distribution

16.

Real Term Structure Forecasts of Consumption Growth

Number of pages: 37 Posted: 03 Feb 2013 Last Revised: 13 Oct 2014
Efthymios Argyropoulos and Elias Tzavalis
Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
Downloads 31 (557,263)
Citation 2

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real term structure of interest rates, Gaussian affine term structure models, price of risks, principal component analysis, consumption forecasting

17.

The Influence of VAR Dimensions on Estimator Biases

Econometrica, Vol. 67, No. 1, p. 163, January 1999
Number of pages: 18 Posted: 15 Jan 2012
Karim M. Abadir, Kaddour Hadri and Elias Tzavalis
Imperial College Business School, Queen's University Belfast and Athens University of Economics and Business - Department of Economics
Downloads 27 (580,868)

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18.

Exploring Okun's Law Asymmetry: An Endogenous Threshold Lstr Approach

ECB Working Paper No. 2345
Number of pages: 56 Posted: 08 Jan 2020
Dimitris Christopoulos, Peter McAdam and Elias Tzavalis
Athens University of Economics and Business, European Central Bank (ECB) and Athens University of Economics and Business - Department of Economics
Downloads 25 (593,640)

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asymmetries, copula, endogeneity, logistic transition, Monte Carlo, output, test for linearity, unemployment

19.

Monetary Policy Rules and Business Cycle Conditions

The Manchester School, Vol. 79, pp. 73-97, 2011
Number of pages: 25 Posted: 02 Sep 2011
Athens University of Economics and Business, Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
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20.

Local Power of Fixed‐T Panel Unit Root Tests with Serially Correlated Errors and Incidental Trends

Journal of Time Series Analysis, Vol. 37, Issue 2, pp. 222-239, 2016
Number of pages: 18 Posted: 26 Jan 2016
Yiannis Karavias and Elias Tzavalis
University of Nottingham and Athens University of Economics and Business - Department of Economics
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Panel data, unit root, local power functions, serial correlation, incidental trends, JELC22

21.

Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes

Economica, Vol. 82, Issue 328, pp. 912-937, 2015
Number of pages: 26 Posted: 15 Oct 2015
Thanassis Kazanas and Elias Tzavalis
Athens University of Economics and Business and Athens University of Economics and Business - Department of Economics
Downloads 0 (793,820)
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