← All authors Stelios Arvanitis Athens University of Economics and Business (from arXiv:1810.10800, 2018) · ORCID · OpenAlex
36 papers in scope · 35 published · 2 on the econ.EM arXiv · 216 citations · h-index 8 (over the papers listed here)
Papers (3 of 36)
VAR(1) long memory from bottlenecks and long cycles in network dynamics
published 2026 · Journal of Complex Networks
Behavioral personae, narrow framing, and stochastic dominance in the cryptocurrency market
published 2026 · Annals of Operations Research
Market timing and predictive complexity
published 2026 · IMA Journal of Management Mathematics
with Foteini Kyriazi, Dimitrios D. Thomakos
Gaussian stochastic volatility, misspecified volatility filters and indirect inference estimation
published 2026 · Econometrics and Statistics
with Antonis Demos
Limit theory for martingale transforms with heavy-tailed noise
published 2025 · Theory of Probability and Mathematical Statistics
with Αλέξανδρος Λουκά
Block empirical likelihood inference for stochastic bounding: large deviations asymptotics under m-dependence
published 2024 · Journal of the Korean Statistical Society
Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing
published 2024 · Mathematics · 2 citations · first circulated 2022
with Thierry Post
working paper 2024 · arXiv · 1 citations
Generalized Stochastic Arbitrage Opportunities
published 2023 · Management Science · 8 citations
with Thierry Post
Concentration inequalities for Kernel density estimators under uniform mixing
published 2023 · Journal of the Korean Statistical Society · 2 citations · first circulated 2022
Inconsistency for the Gaussian QMLE in GARCH-type models with infinite variance
published 2022 · Communication in Statistics-Theory and Methods · 1 citations
with Αλέξανδρος Λουκά
Stochastic dominance efficient sets and stochastic spanning
published 2021 · Decisions in Economics and Finance · first circulated 2017
Diversification benefits in the cryptocurrency market under mild explosivity
published 2021 · European Journal of Operational Research · 32 citations
Nonparametric tests for Optimal Predictive Ability
published 2020 · International Journal of Forecasting · 5 citations
with Thierry Post, Valerio Potì, Selçuk Karabatı
published 2020 · Management Science · 1 citations
On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
published 2019 · Journal of Time Series Analysis · 1 citations
with Sofia Anyfantaki
Robust optimization of forecast combinations
published 2019 · International Journal of Forecasting · 10 citations
with Thierry Post, Selçuk Karabatı
Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
published 2018 · Statistics & Probability Letters · 1 citations · first circulated 2017
Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
published 2018 · Journal of Time Series Analysis · 15 citations
with Tassos Magdalinos
Portfolio optimization based on stochastic dominance and empirical likelihood
published 2018 · Journal of Econometrics · 48 citations · first circulated 2017
with Thierry Post, Selçuk Karabatı, G.T. Post
published 2018 · Journal of Econometrics · 7 citations
Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
published 2017 · Economics Letters · 6 citations
with Αλέξανδρος Λουκά
Stochastic Spanning
published 2017 · Journal of Business and Economic Statistics · 22 citations
A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
published 2017 · Communication in Statistics-Theory and Methods · 3 citations
A note on the limit theory of a Dickey–Fuller unit root test with heavy tailed innovations
published 2017 · Statistics & Probability Letters · 8 citations
Testing for prospect and Markowitz stochastic dominance efficiency
published 2017 · Journal of Econometrics · 18 citations
On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators
published 2016 · Journal of Econometric Methods · 3 citations
with Antonis Demos
A CLT for martingale transforms with infinite variance
published 2016 · Statistics & Probability Letters · first circulated 2015
with Αλέξανδρος Λουκά
A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model
published 2015 · Journal of Time Series Econometrics · 3 citations
with Αλέξανδρος Λουκά
Limit Theory for the QMLE of the GQARCH (1,1) Model
published 2015 · Communication in Statistics-Theory and Methods · 3 citations
with Αλέξανδρος Λουκά
A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction
published 2015 · Econometrics Journal · 6 citations · first circulated 2014
with Antonis Demos
A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
published 2014 · Journal of Time Series Analysis · 1 citations
Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations
published 2014 · Journal of Time Series Econometrics · 2 citations
with Antonis Demos
On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued
published 2013 · Journal of Mathematics · 1 citations
THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL
published 2004 · Econometric Theory · 4 citations
Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
published 2004 · Journal of Time Series Analysis · 2 citations
with Antonis Demos
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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