Andreou E. and E. Ghysels (2020). "Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors”, Journal of Econometrics, forthcoming

Andreou E., P. Gagliardini, E. Ghysels and M. Rubin (2019), "Inference in Group Factor Models with an Application to Mixed Frequency Data", Econometrica, 87, 4, 1267-1305.

Abi-Morshed, A., Andreou, E. and Boldea, O. (2018). "Structural Break Tests Robust to Regression Misspecification." Econometrics 6 (2), 27, 2-39.

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.

E. Andreou and E. Ghysels (2014) "Comment on the Principal Volatility Component Analysis by on Y-P Hu and R. S. Tsay", Journal of Business and Economics Statistics, 32, 2, 168-171.

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.

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.

Andreou E. and E. Ghysels (2020). "Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors”, Journal of Econometrics, forthcoming

Andreou E., P. Gagliardini, E. Ghysels and M. Rubin (2019), "Inference in Group Factor Models with an Application to Mixed Frequency Data", Econometrica, 87, 4, 1267-1305.

Abi-Morshed, A., Andreou, E. and Boldea, O. (2018). "Structural Break Tests Robust to Regression Misspecification." Econometrics 6 (2), 27, 2-39.

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.

E. Andreou and E. Ghysels (2014) "Comment on the Principal Volatility Component Analysis by on Y-P Hu and R. S. Tsay", Journal of Business and Economics Statistics, 32, 2, 168-171.

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.