|Department of Economics|
|FEB 02 - Faculty of Economics and Management|
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Οικονομετρία Χρηματοοικονομικής, Οικονομετρία Χρονοσειρών
Andreou E. (2016) "On the use of high frequency measures of volatility in MIDAS regressions", Journal of Econometrics, forthcoming.
2015-present Professor, Department of Economics, University of Cyprus, Cyprus.
2016-present Director, Economics Research Centre, University of Cyprus.
2008-2015 Associate Professor, Department of Economics, University of Cyprus, Cyprus.
2002-2008 Assistant Professor, Department of Economics, University of Cyprus, Cyprus.
2005-2006 Visiting Assistant Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands and Visiting Scholar at the Statistical & Applied Mathematical Sciences Institute (SAMSI), Research Triangle Park, USA.
2002-2003 Marie Curie Individual Fellowship, Finance and Econometrics Groups, Tilburg University, The Netherlands.
2000-2002 Lecturer, Department of Economics, University of Cyprus, Cyprus.
1997-2000 Lecturer in Econometrics (with tenure), School of Economic Studies, University of Manchester, U.K.
Research Grants and Scholarships
Principal Investigator, European Research Council (ERC) Proof of Concept Grant (PoC), 2015-2017. Granted by the European Union. Proposal title acronym: MONITOR.
Principal Investigator, European Research Council (ERC) Starting Grant (Stg), 2008-2013. Granted by the European Union. Proposal title: New Results on Structural Change tests: Theory and Applications.
University of Cyprus Competitive Internal Research Grants: (a) 2016-2017. Project title: MIDAS models for estimating financial volatility and its effects on macroeconomic variables. Project participants: Eric Ghysels, Mirco Rubin, Patrick Gagliardini. (b) 2010-2012. Project title: Robust Estimation of Cointegrated Models with Applications to the Predictability of Stock Returns. Project participants: Ioannis Kasparis, Peter C. B. Phillips.
Principal research investigator, Leventis Research Grant, 2006-2009. Granted by the University of Cyprus. Research Proposal title: Mixed Data Sampling Regression Models: Applications in Business Cycle, Growth and Structural Breaks. Project partners: Yannis Billias, Andros Kourtellos.
Visiting scholar, SAMSI (Statistical and Applied Mathematical Sciences Institute), Fall 2006, Research Triangle Park, USA.
Principal research investigator, Small-Scale University of Cyprus Research Grant, 2004-2005.
Marie Curie Individual Research Fellowship, 2002-2003. Granted by the European Union. Research proposal title: Evaluating and Monitoring Financial Risk in the Presence of Economic Change and European Integration. Hosting Institution: Tilburg University.
Project co-investigator (with Prof. M. Artis of European University Institute and Profs. D. R. Osborn and K. Blackburn of Manchester University), on a Levelhulme Trust U.K. funded research project entitled International Growth and Business Cycles, GC 752/PH--.
Project co-investigator (with Prof. D. R. Osborn, University of Manchester) on an ESRC U.K. funded research project entitled Financial Variables and the Business Cycle, R000222374.
Scholarship for MBA tuition fees 1992-1993, Leventis Foundation, Paris.
Financial Econometrics, Time Series Econometrics
Andreou E. (2016) “On the use of high frequency measures of volatility in MIDAS regressions”, Journal of Econometrics, 193, 2, 367-389.
Andreou E. and B.J.M Werker (2015) Residual-Based Rank Specification Tests for AR-GARCH Type Models, Journal of Econometrics, , 185, 2, 305-331.
Kasparis I., E. Andreou and P.C.B. Phillips (2015), “Nonparametric Predictive Regression” Journal of Econometrics, 185, 2, 468-494.
Andreou E., M. Matsi and A. Savvides (2013). Stock and Foreign Exchange Linkages in Emerging Economies”. Journal of International Financial Markets, Institutions and Money, 27, 248-268.
Andreou E., E. Ghysels and A. Kourtellos (2013). Should macroeconomic forecasters use daily financial data?. Journal of Business and Economic Statistics, 31,2, 1-12.
Andreou E. and B.J.M. Werker (2012). An alternative asymptotic analysis of residual-based statistics. The Review of Economics and Statistics, 94, 1, 88-99.
Andreou E., E. Ghysels and A. Kourtellos (2010). Regression models with mixed sampling frequencies. Journal of Econometrics, 158, 246-261.
Andreou E. and E. Ghysels (2008). Quality control for structural credit risk models. Journal of Econometrics, 146, 2, 364-375.
Andreou E. (2008). Restoring monotone power in the CUSUM test. Economics Letters, 98, 1, 48-58.
Andreou E. and E. Ghysels (2006). Monitoring disruptions in financial markets. Journal of Econometrics, 135, 77-124.
Andreou E. and E. Ghysels (2004). The impact of sampling frequency and volatility estimators on change-point tests. Journal of Financial Econometrics, 2, 290-318.
Andreou E. and E. Ghysels (2003). Tests for breaks in the dynamic co-movements of asset returns. Statistica Sinica, 13, 1045-1074.
Andreou E. and A. Spanos (2003). Statistical adequacy and the testing of trend versus difference stationarity. Econometric Reviews, 22, 3, 217-237 (lead article with contributed comments).
Andreou E. and E. Ghysels (2002). Detecting multiple breaks in financial market volatility dynamics. Journal of Applied Econometrics, 17, 5, 579-600.
Andreou E. and E. Ghysels (2002). Rolling volatility estimators: Some new theoretical, simulation and empirical results. Journal of Business and Economic Statistics, 20, 3, 363-376.
Andreou E., N. Pittis and A. Spanos (2001). Modelling stock returns: The empirical literature. Journal of Economic Surveys, 15, 2, 187-220.