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Professor Efthymios Pavlidis

Senior Lecturer

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  1. 2024
  2. Published

    Bubbles and Crashes: A Tale of Quantiles

    Pavlidis, E., 18/01/2024, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  3. 2023
  4. Published

    Dynamic linear models with adaptive discounting

    Yusupova, A., Pavlidis, N. & Pavlidis, E., 31/10/2023, In: International Journal of Forecasting. 39, 4, p. 1925-1944 20 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. 2021
  6. Forthcoming

    exuber: Recursive Right-Tailed Unit Root Testing with R

    Vasilopoulos, K., Pavlidis, E. & Martínez-García, E., 14/12/2021, (Accepted/In press) In: Journal of Statistical Software.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  7. Published

    House Prices, (Un)Affordability and Systemic Risk

    Pavlidis, E., Paya, I. & Skouralis, A., 31/03/2021, In: New Zealand Economic Papers. 55, 1, p. 105-123 19 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. 2020
  9. Published

    Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks

    Pavlidis, E. & Vasilopoulos, K., 1/12/2020, In: Journal of International Money and Finance. 109, 21 p., 102222.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  10. Published

    exuber: Recursive Right-Tailed Unit Root Testing with R

    Vasilopoulos, K., Pavlidis, E. & Martínez-García, E., 13/05/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  11. 2019
  12. Published

    Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices

    Pavlidis, E., Martínez-García, E. & Grossman, V., 1/08/2019, In: Economic Modelling. 80, p. 87-102 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  13. Published

    Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks

    Pavlidis, E. & Vasilopoulos, K., 1/07/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  14. Published

    House Prices, (Un)Affordability and Systemic Risk

    Pavlidis, E., Paya, I. & Skouralis, A., 1/06/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  15. 2018
  16. Published

    Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule

    Nguyen, A., Pavlidis, E. & Peel, D. A., 12/2018, In: Studies in Nonlinear Dynamics and Econometrics. 22, 5, 16 p., 20170092.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  17. Published

    A nonlinear analysis of the real exchange rate-consumption relationship

    Pavlidis, E., Paya, I. & Peel, D. A., 10/2018, In: Macroeconomic Dynamics. 22, 7, p. 1825-1843 19 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. Published

    Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market

    Pavlidis, E., Paya, I. & Peel, D. A., 1/08/2018, In: Journal of Money, Credit and Banking. 50, 5, p. 833-856 24 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  19. Published

    The Spurious Effect of ARCH Errors on Linearity Tests: A Theoretical Note and an Alternative Maximum Likelihood Approach

    Pavlidis, E. & Tsionas, E., 04/2018, In: Studies in Nonlinear Dynamics and Econometrics. 22, 2, 8 p., 20160055.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  20. 2017
  21. Published

    Testing for speculative bubbles using spot and forward prices

    Pavlidis, E., Paya, I. & Peel, D. A., 11/2017, In: International Economic Review. 58, 4, p. 1191-1226 36 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  22. Published

    Exuberance in the U.K. Regional Housing Markets

    Pavlidis, E., Paya, I., Peel, D. A. & Yusupova, A. Y., 05/2017, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  23. 2016
  24. Published

    Episodes of exuberance in housing markets: in search of the smoking gun

    Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A. & Grossman, V., 11/2016, In: Journal of Real Estate Finance and Economics. 53, 4, p. 419-449 31 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  25. Published

    Modeling changes in U.S. monetary policy

    Nguyen, A., Pavlidis, E. & Peel, D. A., 09/2016, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  26. Published

    Handbook of Economic Forecasting, Volume 2A, Graham Elliot, Allan Timmermann (Eds.) (2013)

    Pavlidis, E., 07/2016, In: International Journal of Forecasting. 32, 3, p. 895 1 p.

    Research output: Contribution to Journal/Magazine › Book/Film/Article review

  27. 2015
  28. Published

    Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation

    Pavlidis, E., Paya, I. & Peel, D., 07/2015, In: Economics Letters. 132, p. 13-17 5 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  29. 2014
  30. Published

    Episodes of exuberance in housing markets: in search of the smoking gun

    Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martinez-Garcia, E., Mack, A. & Crossman, V., 2014, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series; vol. 2014, no. 9).

    Research output: Working paper

  31. 2013
  32. Published

    Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study

    Pavlidis, E., Paya, I. & Peel, D., 02/2013, In: Studies in Nonlinear Dynamics and Econometrics. 17, 3, p. 297-312 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  33. Published

    Nonlinear dynamics in economics and finance and unit root testing

    Pavlidis, E., Paya, I., Peel, D. & Siriopoulos, C., 2013, In: European Journal of Finance. 19, 6, p. 572-588 17 p.

    Research output: Contribution to Journal/Magazine › Journal article

  34. 2012
  35. Published

    Dynamic Estimation of Trade Costs from Real Exchange Rates

    Pavlidis, E. & Pavlidis, N., 2012, Lancaster: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  36. Published

    Forecast evaluation of nonlinear models: the case of long-span real exchange rates

    Pavlidis, E., Paya, I. & Peel, D., 2012, In: Journal of Forecasting. 31, 7, p. 580-595 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  37. 2011
  38. Published

    Real Exchange Rates and Time-Varying Trade Costs

    Pavlidis, E., Paya, I. & Peel, D., 2011, In: Journal of International Money and Finance. 30, 6, p. 1157-1179 23 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  39. 2010
  40. Published

    Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form

    Pavlidis, E., Paya, I. & Peel, D., 2010, In: Studies in Nonlinear Dynamics and Econometrics. 14, 3, p. 1-38 38 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  41. 2009
  42. Published

    Bubbles in House Prices and their Impact on Consumption: Evidence for the US

    Pavlidis, E., Paya, I., Peel, D. & Spiru, A. M., 2009, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  43. Published

    The econometrics of exchange rates

    Pavlidis, E., Paya, I. & Peel, D., 2009, The Handbook of Econometrics Vol. 2: Applied econometrics . Mills, T. C. & Patterson, K. (eds.). London: Palgrave, p. 1025-1083 59 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  44. 2008
  45. Published

    Computational intelligence algorithms for risk-adjusted trading strategies.

    Pavlidis, N., Pavlidis, E., Epitropakis, M., Plagianakos, V. & Vrahatis, M., 01/2008, IEEE Congress on Evolutionary Computation CEC 2007. Singapore: IEEE, p. 540-547 8 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  46. Published

    Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution

    Paya, I., Pavlidis, E. & Peel, D., 2008, Advances in Doctoral Research in Management Vol. 2. Singapore: World Scientific Publishing

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

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