Items where Author is "Pavlidis, Efthymios"

Journal Article

Pavlidis, Efthymios (2024) Bubbles and Crashes : A Tale of Quantiles. Journal of Time Series Analysis. ISSN 0143-9782 (In Press)

Yusupova, Alisa and Pavlidis, Nicos and Pavlidis, Efthymios (2023) Dynamic linear models with adaptive discounting. International Journal of Forecasting, 39 (4). pp. 1925-1944. ISSN 0169-2070

Vasilopoulos, Konstantinos and Pavlidis, Efthymios and Martínez-García, Enrique (2022) exuber : Recursive Right-Tailed Unit Root Testing with R. Journal of Statistical Software, 103 (10). pp. 1-26. ISSN 1548-7660

Pavlidis, Efthymios and Paya, Ivan and Skouralis, Alexandros (2021) House Prices, (Un)Affordability and Systemic Risk. New Zealand Economic Papers, 55 (1). pp. 105-123.

Pavlidis, Efthymios and Vasilopoulos, Konstantinos (2020) Speculative Bubbles in Segmented Markets : Evidence from Chinese Cross-Listed Stocks. Journal of International Money and Finance, 109: 102222. ISSN 0261-5606

Pavlidis, Efthymios and Martínez-García, Enrique and Grossman, Valerie (2019) Detecting Periods of Exuberance : A Look at the Role of Aggregation with an Application to House Prices. Economic Modelling, 80. pp. 87-102. ISSN 0264-9993

Nguyen, Anh and Pavlidis, Efthymios and Peel, David Alan (2018) Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule. Studies in Nonlinear Dynamics and Econometrics, 22 (5): 20170092. ISSN 1558-3708

Pavlidis, Efthymios and Paya, Ivan and Peel, David Alan (2018) A nonlinear analysis of the real exchange rate-consumption relationship. Macroeconomic Dynamics, 22 (7). pp. 1825-1843. ISSN 1365-1005

Pavlidis, Efthymios and Paya, Ivan and Peel, David Alan (2018) Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market. Journal of Money, Credit and Banking, 50 (5). pp. 833-856. ISSN 0022-2879

Pavlidis, Efthymios and Tsionas, Efthymios (2018) The Spurious Effect of ARCH Errors on Linearity Tests : A Theoretical Note and an Alternative Maximum Likelihood Approach. Studies in Nonlinear Dynamics and Econometrics, 22 (2): 20160055. ISSN 1558-3708

Pavlidis, Efthymios and Paya, Ivan and Peel, David Alan (2017) Testing for speculative bubbles using spot and forward prices. International Economic Review, 58 (4). pp. 1191-1226. ISSN 0020-6598

Pavlidis, Efthymios and Yusupova, Alisa and Paya, Ivan and Peel, David and Martínez-García, Enrique and Mack, Adrienne and Grossman, Valerie (2016) Episodes of exuberance in housing markets : in search of the smoking gun. Journal of Real Estate Finance and Economics, 53 (4). pp. 419-449. ISSN 0895-5638

Pavlidis, Efthymios (2016) Handbook of Economic Forecasting, Volume 2A, Graham Elliot, Allan Timmermann (Eds.) (2013). International Journal of Forecasting, 32 (3). p. 895. ISSN 0169-2070

Pavlidis, Efthymios and Paya, Ivan and Peel, David (2015) Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. Economics Letters, 132. pp. 13-17. ISSN 0165-1765

Pavlidis, Efthymios and Paya, Ivan and Peel, David (2013) Nonlinear causality tests and multivariate conditional heteroskedasticity : a simulation study. Studies in Nonlinear Dynamics and Econometrics, 17 (3). pp. 297-312. ISSN 1558-3708

Pavlidis, Efthymios and Paya, Ivan and Peel, David and Siriopoulos, Costas (2013) Nonlinear dynamics in economics and finance and unit root testing. European Journal of Finance, 19 (6). pp. 572-588. ISSN 1351-847X

Pavlidis, Efthymios and Paya, Ivan and Peel, David (2012) Forecast evaluation of nonlinear models : the case of long-span real exchange rates. Journal of Forecasting, 31 (7). pp. 580-595. ISSN 0277-6693

Pavlidis, Efthymios and Paya, Ivan and Peel, David (2011) Real Exchange Rates and Time-Varying Trade Costs. Journal of International Money and Finance, 30 (6). pp. 1157-1179. ISSN 0261-5606

Pavlidis, Efthymios and Paya, I and Peel, D (2010) Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form. Studies in Nonlinear Dynamics and Econometrics, 14 (3). pp. 1-38. ISSN 1558-3708

Contribution in Book/Report/Proceedings

Pavlidis, Efthymios and Paya, I and Peel, D (2009) The econometrics of exchange rates. In: The Handbook of Econometrics Vol. 2 : Applied econometrics. Palgrave, London, pp. 1025-1083. ISBN 9781403917997

Pavlidis, Nicos and Pavlidis, Efthymios and Epitropakis, Michael and Plagianakos, Vasilis and Vrahatis, Michael (2008) Computational intelligence algorithms for risk-adjusted trading strategies. In: IEEE Congress on Evolutionary Computation CEC 2007 :. IEEE, Singapore, pp. 540-547. ISBN 978-1-4244-1339-3

Paya, I and Pavlidis, Efthymios and Peel, D (2008) Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution. In: Advances in Doctoral Research in Management Vol. 2 :. World Scientific Publishing, Singapore. ISBN 9789812778659

Monograph

Martinez-Garcia, Enrique and Pavlidis, Efthymios (2025) Bubbling Up? : What Consumer Expectations Reveal About U.S. Housing Market Exuberance. Working Paper. The Department of Economics, Lancaster.

Pavlidis, Efthymios (2024) Bubbles and Crashes : A Tale of Quantiles. Working Paper. Lancaster University, Department of Economics, Lancaster.

Vasilopoulos, Konstantinos and Pavlidis, Efthymios and Martínez-García, Enrique (2020) exuber : Recursive Right-Tailed Unit Root Testing with R. Working Paper. Lancaster University, Department of Economics, Lancaster.

Pavlidis, Efthymios and Vasilopoulos, Konstantinos (2019) Speculative Bubbles in Segmented Markets : Evidence from Chinese Cross-Listed Stocks. Working Paper. Lancaster University, Department of Economics, Lancaster.

Pavlidis, Efthymios and Paya, Ivan and Skouralis, Alex (2019) House Prices, (Un)Affordability and Systemic Risk. Working Paper. Lancaster University, Department of Economics, Lancaster.

Pavlidis, Efthymios and Paya, Ivan and Peel, David Alan and Yusupova, Alisa Yevgenyevna (2017) Exuberance in the U.K. Regional Housing Markets. Working Paper. Lancaster University, Department of Economics, Lancaster.

Nguyen, Anh and Pavlidis, Efthymios and Peel, David Alan (2016) Modeling changes in U.S. monetary policy. Working Paper. Lancaster University, Department of Economics, Lancaster.

Pavlidis, Efthymios and Yusupova, Alisa and Paya, Ivan and Peel, David and Martinez-Garcia, Enrique and Mack, Adrienne and Crossman, Valerie (2014) Episodes of exuberance in housing markets : in search of the smoking gun. Working Paper. Lancaster University, Department of Economics, Lancaster.

Pavlidis, Efthymios and Pavlidis, Nicos (2012) Dynamic Estimation of Trade Costs from Real Exchange Rates. Working Paper. The Department of Economics, Lancaster.

Pavlidis, Efthymios and Paya, I and Peel, D and Spiru, A M (2009) Bubbles in House Prices and their Impact on Consumption: Evidence for the US. Working Paper. The Department of Economics, Lancaster University.

Thesis

Margaris, Aristotelis and Pavlidis, Efthymios and Miescu, Mirela Sorina and Motta, Giorgio (2023) Essays on monetary policy, credit and housing. PhD thesis, Lancaster University.

Finch, Ben and Tayler, William and Pavlidis, Efthymios (2022) Three Essays on Housing, Credit and Uncertainty. PhD thesis, Lancaster University.

Skouralis, Alexandros and Paya, Ivan and Pavlidis, Efthymios (2021) Essays on Macroeconomics and Financial stability. PhD thesis, Lancaster University.

Vasilopoulos, Konstantinos and Pavlidis, Efthymios and Tayler, William (2020) Essays in macroeconomics and finance. PhD thesis, Lancaster University.

Spavound, Simon and Pavlidis, Efthymios and Paya, Ivan and Peel, David (2019) An econometric analysis of global agricultural commodity prices. PhD thesis, Lancaster University.

Yusupova, Alisa Yevgenyevna and Peel, David and Paya, Ivan and Pavlidis, Efthymios (2016) An econometric analysis of U.K. regional real estate markets. PhD thesis, Lancaster University.

Nguyen, Anh D.M. and Peel, David and Pavlidis, Efthymios (2015) Essays on monetary policy. PhD thesis, Lancaster University.

Pavlidis, Efthymios (2009) Nonlinear Econometric Methods in International Economics. PhD thesis, Lancaster University.