ΕΛΕΝΑ ΑΝΔΡΕΟΥ
ΑΝΔΡΕΟΥ ΕΛΕΝΑ
ANDREOU ELENA
...
PROFESSOR
Department of Economics
FEB 02 - Faculty of Economics and Management
University Campus
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+357 22 893708
+357 22 892058
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Προσωπικό Προφίλ

 
Οικονομετρία Χρηματοοικονομικής, Οικονομετρία Χρονοσειρών

Andreou E. (2016) "On the use of high frequency measures of volatility in MIDAS regressions", Journal of Econometrics, forthcoming.
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.

Profile Information

Employment History

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.