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ΑΝΔΡΕΟΥ ΕΛΕΝΑ | |
ANDREOU ELENA | |
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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., 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. |
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.
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Financial Econometrics, Time Series Econometrics | |
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. |