← All authors Efthymios Pavlidis Lancaster University (per OpenAlex) · ORCID · OpenAlex
19 papers in scope · 18 published · 2 on the econ.EM arXiv · 417 citations · h-index 9 (over the papers listed here)
Related authors The 10 authors closest to this one in our weighted citation graph, most related first.
Florian Ziel Rafał Weron Fotios Petropoulos Feng Li Alisa Yusupova Paul Ghelasi Souhaib Ben Taieb Bartosz Uniejewski Gael M. Martin David T. Frazier Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 19)
Bubbles and crashes: A tale of quantiles
published 2024 · Journal of Time Series Analysis · 4 citations
Dynamic linear models with adaptive discounting
published 2022 · International Journal of Forecasting · 4 citations
exuber : Recursive Right-Tailed Unit Root Testing with R
published 2022 · Journal of Statistical Software · 38 citations · first circulated 2020
with Kostas Vasilopoulos, Enrique Martínez-García
Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks
published 2020 · Journal of International Money and Finance · 14 citations · first circulated 2019
with Kostas Vasilopoulos, Konstantinos Vasilopoulos
House prices, (un)affordability and systemic risk
published 2020 · New Zealand Economic Papers · 7 citations · first circulated 2019
with Iván Payá, Alexandros Skouralis, Alex Skouralis
working paper 2019 · arXiv · 4 citations
Detecting periods of exuberance: A look at the role of aggregation with an application to house prices
published 2018 · Economic Modelling · 27 citations · first circulated 2017
with Enrique Martínez-García, Valerie Aarne Grossman, Valerie Grossman
Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
published 2018 · Journal of money credit and banking · 40 citations
with Iván Payá, David Peel
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
published 2018 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Anh Dinh Minh Nguyen, David Peel
TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
published 2017 · International Economic Review · 49 citations
with Iván Payá, David Peel
The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
published 2017 · Studies in Nonlinear Dynamics and Econometrics
A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP
published 2017 · Macroeconomic Dynamics · 1 citations
with Iván Payá, David Peel
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
published 2015 · The Journal of Real Estate Finance and Economics · 155 citations · first circulated 2013
Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation
published 2015 · Economics Letters · 15 citations
with Iván Payá, David Peel
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 8 citations
with Iván Payá, David Peel
Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
published 2011 · Journal of Forecasting · 9 citations
with Iván Payá, David Peel
Nonlinear dynamics in economics and finance and unit root testing
published 2011 · European Journal of Finance · 4 citations
with Iván Payá, David Peel, Costas Siriopoulos
Real exchange rates and time-varying trade costs
published 2011 · Journal of International Money and Finance · 19 citations · first circulated 2009
with Iván Payá, David Peel
Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
published 2010 · Studies in Nonlinear Dynamics and Econometrics · 16 citations · first circulated 2009
with Iván Payá, David Peel
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