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Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

  1. 2021
  2. Published

    Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns

    Andreou, P. C., Kagkadis, A., Maio, P. & Philip, D., 1/04/2021, In: Critical Finance Review. 10, 1, p. 65-81 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  3. Published

    Equity Market Connectedness across Regimes of Geopolitical Risks: Historical Evidence and Theory

    Jalloul, M. & Miescu, M., 1/04/2021, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  4. Published

    High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model

    Li, Y., Nolte, I. & Nolte, S., 31/03/2021, In: Journal of Economic Dynamics and Control. 124, 20 p., 104077.

    Research output: Contribution to journalJournal articlepeer-review

  5. Published

    High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model

    Li, Y., Nolte, I. & Nolte, S., 31/03/2021, In: Journal of Economic Dynamics and Control. 124, 21 p., 104077.

    Research output: Contribution to journalJournal articlepeer-review

  6. 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 journalJournal articlepeer-review

  7. Published

    The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

    Izzeldin, M., Muradoglu, G., Pappas, V. & Sivaprasad, S., 1/03/2021, In: International Review of Financial Analysis. 74, 12 p., 101671.

    Research output: Contribution to journalJournal articlepeer-review

  8. E-pub ahead of print

    Volatility estimation and forecasts based on price durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 1/03/2021, In: Journal of Financial Econometrics.

    Research output: Contribution to journalJournal articlepeer-review

  9. Published

    On the Contribution of the Markowitz Model of Utility to Explain Risky Choice in Experimental Research

    Georgalos, K., Paya, I. & Peel, D. A., 1/02/2021, In: Journal of Economic Behavior and Organization. 182, p. 527-543 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  10. E-pub ahead of print

    A descriptive study of high-frequency trade and quote option data

    Andersen, T., Archakov, I., Grund, L., Hautsch, N., Li, Y., Nasekin, S., Nolte, I., Pham, M., Taylor, S. & Todorov, V., 6/01/2021, In: Journal of Financial Econometrics. 19, 1, p. 128-177 50 p.

    Research output: Contribution to journalJournal articlepeer-review

  11. Published

    Efficiency convergence in Islamic and conventional banks

    Izzeldin, M., Johnes, J., Ongena, S., Pappas, V. & Tsionas, M., 1/01/2021, In: Journal of International Financial Markets, Institutions and Money. 70, 24 p., 101279.

    Research output: Contribution to journalJournal articlepeer-review

  12. Published

    The impact of intraday periodicity and news announcements on high-frequency stock volatility

    Guan, Y., 2021, Lancaster University. 267 p.

    Research output: ThesisDoctoral Thesis

  13. 2020
  14. Published

    On the estimation of technical and allocative efficiency in a panel stochastic production frontier system model: some new formulations and generalizations

    Kumbhakar, S. C. & Tsionas, M. G., 1/12/2020, In: European Journal of Operational Research. 287, 2, p. 762-775 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  15. 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 journalJournal articlepeer-review

  16. Published

    The dynamics of fleet size and shipping profitability: the role of steel-scrap prices

    Andrikopoulos, A., Merika, A., Merikas, A. & Tsionas, M., 16/11/2020, In: Maritime Policy and Management. 47, 8, p. 985-1009 25 p.

    Research output: Contribution to journalJournal articlepeer-review

  17. Published

    A note on Sigma–Mu efficiency analysis as a methodology for evaluating units through composite indicators

    Tsionas, M. G., 1/11/2020, In: European Journal of Operational Research. 286, 3, p. 1187-1196 10 p.

    Research output: Contribution to journalJournal articlepeer-review

  18. Published

    Discrete-Time Dynamic Principal-Agent Models: Contraction Mapping Theorem and Computational Treatment

    Renner, P. & Schmedders, K., 1/11/2020, In: Quantitative Economics. 11, 4, p. 1215-1251 37 p.

    Research output: Contribution to journalJournal articlepeer-review

  19. Published

    The effects of trade size and market depth on immediate price impact in a limit order book market

    Pham, M., Anderson, H., Lajbcygier, P. & Duong, H. N., 1/11/2020, In: Journal of Economic Dynamics and Control. 120, 27 p., 103992.

    Research output: Contribution to journalJournal articlepeer-review

  20. Published

    Macroprudential Policy in the Euro Area

    Fernandez-Gallardo, A. & Paya, I., 7/10/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  21. Published

    A spatial stochastic frontier model with endogenous frontier and environmental variables

    Kutlu, L., Tran, K. C. & Tsionas, M. G., 1/10/2020, In: European Journal of Operational Research. 286, 1, p. 389-399 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  22. Published

    On a model of environmental performance and technology gaps

    Tsionas, M. G., 16/09/2020, In: European Journal of Operational Research. 285, 3, p. 1141-1152 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  23. Published

    Forecasting Stock Returns with Large Dimensional Factor Models

    Giovannelli, A., Massacci, D. & Soccorsi, S., 1/09/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  24. Published

    Interest Rate Sensitivity in European Public Real Estate Markets

    Akimov, A., Lee, C. L. & Stevenson, S., 1/09/2020, In: Journal of Real Estate Portfolio Management. 25, 2, p. 138-150 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  25. Published

    The Inter-temporal relationship between Risk, Capital and Efficiency: The case of Islamic and conventional banks

    Saeed, M., Izzeldin, M., Hassan, M. K. & Pappas, V., 1/09/2020, In: Pacific-Basin Finance Journal. 62, 22 p., 101328.

    Research output: Contribution to journalJournal articlepeer-review

  26. E-pub ahead of print

    Bank deposits and Google searches in a crisis economy: Bayesian non-linear evidence for Greece (2009–2015)

    Konstantakis, K. N., Paraskeuopoulou, D., Michaelides, P. G. & Tsionas, E. G., 19/08/2020, In: International Journal of Finance and Economics.

    Research output: Contribution to journalJournal articlepeer-review

  27. E-pub ahead of print

    Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

    Barigozzi, M., Hallin, M., Soccorsi, S. & von Sachs, R., 8/08/2020, In: Journal of Econometrics. 0, p. 0-0

    Research output: Contribution to journalJournal articlepeer-review

  28. Published

    On a High-Dimensional Model Representation method based on Copulas

    Tsionas, M. G. & Andrikopoulos, A., 1/08/2020, In: European Journal of Operational Research. 284, 3, p. 967-979 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  29. Published

    Relative Productivity and Search Unemployment in an Open Economy

    Cardi, O., Bertinelli, L. & Restout, R., 1/08/2020, In: Journal of Economic Dynamics and Control. 117, 27 p., 103938.

    Research output: Contribution to journalJournal articlepeer-review

  30. Published

    Correcting for endogeneity in hospitality and tourism research

    Assaf, A. G. & Tsionas, M., 15/07/2020, In: International Journal of Contemporary Hospitality Management. 32, 8, p. 2657-2675 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  31. Published

    Bayesian input–output table update using a benchmark LASSO prior

    Tsionas, M. G., 2/07/2020, In: Economic Systems Research. 32, 3, p. 413-427 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  32. Published

    Financial shocks and economic activity: A high frequency approach

    Miescu, M. & Mumtaz, H., 1/07/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  33. Published

    Return predictability of variance differences: A fractionally cointegrated approach

    Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  34. Published

    Return Predictability of Variance Differences: a fractionally co-integrated approach

    Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: The Journal of Futures Markets . 40, 7, p. 1072-1089 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  35. E-pub ahead of print

    COVID-19 and gradual adjustment in the tourism, hospitality, and related industries

    Tsionas, M. G., 12/06/2020, In: Tourism Economics. 5 p.

    Research output: Contribution to journalJournal articlepeer-review

  36. Published

    A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation

    Hall, S. G., Gibson, H. D., Tavlas, G. S. & Tsionas, M. G., 1/06/2020, In: Computational Economics. 56, p. 115–130 16 p.

    Research output: Contribution to journalJournal articlepeer-review

  37. Published

    A note on the Gao et al. (2019) uniform mixture model in the case of regression

    Tsionas, M. & Andrikopoulos, A., 1/06/2020, In: Annals of Operations Research. 289, p. 495–501 7 p.

    Research output: Contribution to journalJournal articlepeer-review

  38. Published

    An augmented first-order approach for incentive problems

    Renner, P., 28/05/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  39. Published

    Board busyness, performance and financial stability: does bank type matter?

    Trinh, V. Q., Elnahass, M., Salama, A. & Izzeldin, M., 23/05/2020, In: European Journal of Finance. 26, 7-8, p. 774-801 28 p.

    Research output: Contribution to journalJournal articlepeer-review

  40. 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

  41. Published

    Does risk aversion affect bank output loss? The case of the Eurozone

    Tsionas, M. G., Mamatzakis, E. & Ongena, S., 1/05/2020, In: European Journal of Operational Research. 282, 3, p. 1127-1145 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  42. Published

    Quantile Stochastic Frontiers

    Tsionas, M. G., 1/05/2020, In: European Journal of Operational Research. 282, 3, p. 1177-1184 8 p.

    Research output: Contribution to journalJournal articlepeer-review

  43. Published

    Testing moderation effects using non-parametric regressions

    George Assaf, A., Tsionas, M. G. & Andrikopoulos, A., 30/04/2020, In: International Journal of Hospitality Management. 86, 5 p., 102441.

    Research output: Contribution to journalJournal articlepeer-review

  44. Published

    Influence of media coverage and sentiment on seasoned equity offerings

    Sun, J., Zhou, Y., Wang, J. & Guo, J. M., 24/04/2020, In: Accounting and Finance. 60, S1, p. 557-585 9 p.

    Research output: Contribution to journalJournal articlepeer-review

  45. Published

    On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences

    Paya, I., Peel, D. & Georgalos, K., 3/04/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  46. E-pub ahead of print

    Buyback behaviour and the option funding hypothesis

    Sonika, R. & Shackleton, M., 3/03/2020, In: Journal of Banking and Finance.

    Research output: Contribution to journalJournal articlepeer-review

  47. Published

    A coherent approach to Bayesian Data Envelopment Analysis

    Tsionas, M. G., 1/03/2020, In: European Journal of Operational Research. 281, 2, p. 439-448 10 p.

    Research output: Contribution to journalJournal articlepeer-review

  48. Published

    Imperfect mobility of labor across sectors and fiscal transmission

    Cardi, O., Restout, R. & Claeys, P., 29/02/2020, In: Journal of Economic Dynamics and Control. 111, 27 p., 103815.

    Research output: Contribution to journalJournal articlepeer-review

  49. E-pub ahead of print

    Estimating Portfolio Risk for Tail Risk Protection Strategies

    Happersberger, D., Lohre, H. & Nolte, I., 3/02/2020, In: European Financial Management. 26, 4, p. 1107-1146 40 p.

    Research output: Contribution to journalJournal articlepeer-review

  50. Published

    A Bayesian approach to continuous type principal-agent problems

    Assaf, A. G., Bu, R. & Tsionas, M. G., 1/02/2020, In: European Journal of Operational Research. 280, 3, p. 1188-1192 5 p.

    Research output: Contribution to journalJournal articlepeer-review

  51. Published

    A Novel Forecasting Model for the Baltic Dry Index Utilizing Optimal Squeezing

    Makridakis, S., Merikas, A., Merika, A., Tsionas, M. & Izzeldin, M., 1/01/2020, In: Journal of Forecasting. 39, 1, p. 56-68 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  52. Published

    NAV Inflation and Impact on Performance in China

    Shackleton, M. B., Yan, J. & Yao, Y., 1/01/2020, In: European Financial Management. 26, 1, p. 118-142 25 p.

    Research output: Contribution to journalJournal articlepeer-review

  53. 2019
  54. Published

    Bayesian dynamic panel models for tourism research

    Assaf, A. G. & Tsionas, M. G., 10/12/2019, In: Tourism Management. 75, p. 582-594 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  55. Published

    Robust Bayesian Inference in Stochastic Frontier Models

    Tsionas, M. G., 4/12/2019, In: Journal of Risk and Financial Management. 9 p., 183.

    Research output: Contribution to journalJournal articlepeer-review

  56. Published

    Revisiting shape and moderation effects in curvilinear models

    Assaf, A. G. & Tsionas, M. G., 2/12/2019, In: Tourism Management. 75, p. 216-230 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  57. Published

    Labor Market Effects of Technology Shocks Biased toward the Traded Sector

    Bertinelli, L., Cardi, O. & Restout, R., 12/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  58. Published

    Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy

    Miescu, M. & Mumtaz, H., 31/10/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  59. Published

    A Least Squares Regression Realised Covariation Estimation

    Nolte, I., Vasios, M., Voev, V. & Xu, Q., 3/10/2019, SSRN Working Paper, 87 p.

    Research output: Working paper

  60. Published

    Global growth on life support? The contributions of fiscal and monetary policy since the global financial crisis

    Baumann, U., Lodge, D. & Miescu, M., 2/10/2019, Frankfurt am Main: European Central Bank, 44 p.

    Research output: Working paper

  61. Published

    A novel cluster HAR-type model for forecasting realized volatility

    Yao, X., Izzeldin, M. & Li, Z., 1/10/2019, In: International Journal of Forecasting. 35, p. 1318-1331 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  62. Published

    Forecasting Realised Volatility Using ARFIMA and HAR Models

    Izzeldin, M., Hassan, M. K., Pappas, V. & Tsionas, M., 1/10/2019, In: Quantitative Finance. 19, 10, p. 1627-1638 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  63. Published

    Ordinal-response GARCH models for transaction data: A forecasting exercise

    Dimitrakopoulos, S. & Tsionas, M., 1/10/2019, In: International Journal of Forecasting. 35, 4, p. 1273-1287 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  64. Published

    Uncertainty shocks in emerging economies: a global to local approach for identification

    Miescu, M., 10/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  65. Published

    On the estimation of total factor productivity: A novel Bayesian non-parametric approach

    Tsionas, M. G. & Polemis, M. L., 19/09/2019, In: European Journal of Operational Research. 277, 3, p. 886-902 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  66. Published

    A Regression Discontinuity Stochastic Frontier Model with an Application to Educational Attainment

    Johnes, G. & Tsionas, M., 1/09/2019, In: Stat. 8, 1, e242.

    Research output: Contribution to journalJournal articlepeer-review

  67. Published

    Does efficiency help banks survive and thrive during financial crises?

    Assaf, A. G., Berger, A. N., Roman, R. A. & Tsionas, M. G., 1/09/2019, In: Journal of Banking and Finance. 106, p. 445-470 26 p.

    Research output: Contribution to journalJournal articlepeer-review

  68. Published

    The information content of forward moments

    Andreou, P. C., Kagkadis, A., Philip, D. & Taamouti, A., 1/09/2019, In: Journal of Banking and Finance. 106, p. 527-541 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  69. 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 journalJournal articlepeer-review

  70. Published

    Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model

    Yao, X., Izzeldin, M. & Li, Z., 1/08/2019, In: Economics Letters. 181, p. 160-163 4 p.

    Research output: Contribution to journalJournal articlepeer-review

  71. Published

    Quantitative research in tourism and hospitality: an agenda for best-practice recommendations

    Assaf, A. G. & Tsionas, M. G., 8/07/2019, In: International Journal of Contemporary Hospitality Management. 31, 7, p. 2776-2787 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  72. Published

    Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

    Barigozzi, M., Hallin, M. & Soccorsi, S., 1/07/2019, In: Journal of Financial Econometrics. 17 , 3, p. 462-494 33 p.

    Research output: Contribution to journalJournal articlepeer-review

  73. Published

    Multi-objective optimization using statistical models

    Tsionas, M. G., 1/07/2019, In: European Journal of Operational Research. 276, 1, p. 364-378 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  74. 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

  75. Published

    Together in bad times: connectedness and spillovers in recession and boom

    Miescu, M., 30/06/2019, In: Manchester School. 87, 3, p. 342-366 25 p.

    Research output: Contribution to journalJournal articlepeer-review

  76. 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

  77. Published

    Performance and Productivity in Islamic and Conventional Banks: Evidence from the Global Financial Crisis

    Johnes, J., Izzeldin, M., Pappas, V. & Alexakis, C., 1/06/2019, In: Economic Modelling. 79, p. 1-14 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  78. Published

    Advanced Macroeconomics: A Primer

    Minford, P. & Peel, D., 2/05/2019, 2nd ed. ed. Cheltenham: Edward Elgar Publishing. 502 p.

    Research output: Book/Report/ProceedingsBook

  79. Published

    The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

    Hizmeri, R., Izzeldin, M., Murphy, A. & Tsionas, M., 1/05/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  80. Published

    A Bayesian semiparametric approach to stochastic frontiers and productivity

    Tsionas, M. G. & Mallick, S. K., 1/04/2019, In: European Journal of Operational Research. 274, 1, p. 391-402 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  81. Published

    Flexible distribution functions, higher-order preferences and optimal portfolio allocation

    Niguez, T-M., Paya, I., Peel, D. A. & Perote, J., 1/04/2019, In: Quantitative Finance. 19, 4, p. 699-703 5 p.

    Research output: Contribution to journalJournal articlepeer-review

  82. Published

    Diagnosing and correcting the effects of multicollinearity: Bayesian implications of ridge regression

    Assaf, A. G., Tsionas, M. & Tasiopoulos, A., 04/2019, In: Tourism Management. 71, p. 1-8 8 p.

    Research output: Contribution to journalJournal articlepeer-review

  83. Published

    Forecasting occupancy rate with Bayesian compression methods

    Assaf, A. G. & Tsionas, M. G., 31/03/2019, In: Annals of Tourism Research. 75, p. 439-449 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  84. E-pub ahead of print

    Multivariate stochastic volatility with large and moderate shocks

    Izzeldin, M., Tsionas, E. & Michaelides, P. G., 23/03/2019, In: Journal of the Royal Statistical Society: Series A Statistics in Society.

    Research output: Contribution to journalJournal articlepeer-review

  85. Published

    Pre-Decision Side-Bet Sequences

    Kaivanto, K. K. & Peel, D. A., 16/03/2019, In: Economics Bulletin. 39, 1, p. 533-539 7 p.

    Research output: Contribution to journalJournal articlepeer-review

  86. Published

    A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA

    Mariolis, T., Konstantakis, K. N., Michaelides, P. G. & Tsionas, E. G., 1/02/2019, In: Studies in Nonlinear Dynamics and Econometrics. 23, 1, 20160137.

    Research output: Contribution to journalJournal articlepeer-review

  87. Published

    Macroprudential Interventions in Liquidity Traps

    Tayler, W. J. & Zilberman, R., 02/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  88. Published

    Optimal Fiscal Policy with Consumption Taxation

    Motta, G. E. & Rossi, R., 02/2019, In: Journal of Money, Credit and Banking. 51, 1, p. 139-161 23 p.

    Research output: Contribution to journalJournal articlepeer-review

  89. Unpublished

    Renewal Based Volatility Estimation

    Li, Y., Nolte, I. & Nolte, S., 12/01/2019, (Unpublished) SSRN Working Paper.

    Research output: Working paper

  90. Published

    Measuring comparative advantages in the Euro Area

    Konstantakopoulou, I. & Tsionas, M. G., 1/01/2019, In: Economic Modelling. 76, p. 260-269 10 p.

    Research output: Contribution to journalJournal articlepeer-review

  91. Published

    Modeling asymmetric price transmission in the European food market

    Rezitis, A. N. & Tsionas, M., 01/2019, In: Economic Modelling. 76, p. 216-230 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  92. Published

    Non-parametric regression for hypothesis testing in hospitality and tourism research

    Assaf, A. G. & Tsionas, M., 01/2019, In: International Journal of Hospitality Management. 76, Part A, p. 43-47 5 p.

    Research output: Contribution to journalJournal articlepeer-review

  93. Published

    What determines forecasters’ forecasting errors?

    Nolte, I., Nolte, S. & Pohlmeier, W., 01/2019, In: International Journal of Forecasting. 35, 1, p. 11-24 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  94. Published

    An econometric analysis of global agricultural commodity prices

    Spavound, S., 2019, Lancaster University. 116 p.

    Research output: ThesisDoctoral Thesis

  95. Published

    The role of the government support for education attainment and fertility decisions

    Kalinyak, A., 2019, Lancaster University. 342 p.

    Research output: ThesisDoctoral Thesis

  96. 2018
  97. Published

    Smooth Approximations to Monotone Concave Functions in Production Analysis: An Alternative to Nonparametric Concave Least Squares

    Tsionas, E. & Izzeldin, M., 16/12/2018, In: European Journal of Operational Research. 271, 3, p. 797-807 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  98. E-pub ahead of print

    On proper specification in tourism research

    Assaf, A. G. & Tsionas, M. G., 1/12/2018, In: Annals of Tourism Research. 77, p. 148-153 6 p.

    Research output: Contribution to journalJournal articlepeer-review

  99. Published

    Time-Series Momentum in Nearly 100 Years of Stock Returns

    Lim, B., Wang, J. & Yao, Y., 1/12/2018, In: Journal of Banking and Finance. 97, p. 283-296 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  100. Published

    Measuring hotel performance: Toward more rigorous evidence in both scope and methods

    Assaf, A. G. & Tsionas, M., 12/2018, In: Tourism Management. 69, p. 69-87 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  101. 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 journalJournal articlepeer-review

  102. Published

    Revisiting the returns of public infrastructure in Mexico: a limited information local likelihood estimation

    Mamatzakis, E. & Tsionas, M., 11/2018, In: Economic Modelling. 75, p. 132-141 10 p.

    Research output: Contribution to journalJournal articlepeer-review

  103. Published

    An internally consistent approach to the estimation of market power and cost efficiency with an application to U.S. banking

    Tsionas, E. G., Malikov, E. & Kumbhakar, S. C., 16/10/2018, In: European Journal of Operational Research. 270, 2, p. 747-760 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  104. 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 journalJournal articlepeer-review

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