Zacharias Psaradakis
Datos Biográficos
| ID | 5735544 |
|---|---|
| NOMBRE | Zacharias Psaradakis |
| NOMBRES | Zacharias |
| APELLIDO | Psaradakis |
| FIRMA | PSARADAKIS Z |
| AFILIACIONES | University of London |
| ORCID | 0000-0001-9417-4156 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 6 |
| TOTAL DE CITAS | 2 |
| TOTAL COMO AUTOR | 6 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 1995 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2026 |
| ÍNDICE H | 1 |
Federal Reserve Chairs and Monetary Regimes
This paper extends prior research by introducing a novel econometric framework—Regime‐Dependent Granger Causality—to analyse the systematic elements of United States (US) monetary policy. Using vector autoregressive models allowing for temporary Granger causality, we examine the association between monetary policy regimes—Taylor rules and Monetary Feedback rules—and the tenures of Federal Reserve Chairs. The analysis identifies the Global Financi…
The Role of Consumer Sentiment in the Stock Market
We consider the relationship between stock prices, volatility and consumer sentiment. The analysis is based on a new multivariate model defined as a time‐varying mixture of dynamic models in which contemporaneous relationships among variables are allowed and the mixing weights have a threshold‐type structure. We discuss issues related to the stability of the model and the estimation of its parameters. Our empirical results show that consumer sent…
Using Triples to Assess Symmetry Under Weak Dependence
The problem of assessing symmetry about an unspecified center of the one-dimensional marginal distribution of strictly stationary random processes is considered. A well-known U-statistic based on data triples is used to detect deviations from symmetry, allowing the underying process to satisfy suitable mixing or near-epoch dependence conditions. We suggest using subsampling for inference on the target parameter, establish the asymptotic validity …
Using the Bootstrap to Test for Symmetry Under Unknown Dependence
This article considers tests for symmetry of the one-dimensional marginal distribution of fractionally integrated processes. The tests are implemented by using an autoregressive sieve bootstrap approximation to the null sampling distribution of the relevant test statistics. The sieve bootstrap allows inference on symmetry to be carried out without knowledge of either the memory parameter of the data or of the appropriate norming factor for the te…
Cointegration and Changes in Regime
An Analysis of Seasonality in the U.K. Equity Market
This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk
An Analysis of Seasonality in the U.K. Equity Market
This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk
An Analysis of Seasonality in the U.K. Equity Market
This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk
Cointegration and Changes in Regime
Using the Bootstrap to Test for Symmetry Under Unknown Dependence
This article considers tests for symmetry of the one-dimensional marginal distribution of fractionally integrated processes. The tests are implemented by using an autoregressive sieve bootstrap approximation to the null sampling distribution of the relevant test statistics. The sieve bootstrap allows inference on symmetry to be carried out without knowledge of either the memory parameter of the data or of the appropriate norming factor for the te…
Using Triples to Assess Symmetry Under Weak Dependence
The problem of assessing symmetry about an unspecified center of the one-dimensional marginal distribution of strictly stationary random processes is considered. A well-known U-statistic based on data triples is used to detect deviations from symmetry, allowing the underying process to satisfy suitable mixing or near-epoch dependence conditions. We suggest using subsampling for inference on the target parameter, establish the asymptotic validity …
The Role of Consumer Sentiment in the Stock Market
We consider the relationship between stock prices, volatility and consumer sentiment. The analysis is based on a new multivariate model defined as a time‐varying mixture of dynamic models in which contemporaneous relationships among variables are allowed and the mixing weights have a threshold‐type structure. We discuss issues related to the stability of the model and the estimation of its parameters. Our empirical results show that consumer sent…
Federal Reserve Chairs and Monetary Regimes
This paper extends prior research by introducing a novel econometric framework—Regime‐Dependent Granger Causality—to analyse the systematic elements of United States (US) monetary policy. Using vector autoregressive models allowing for temporary Granger causality, we examine the association between monetary policy regimes—Taylor rules and Monetary Feedback rules—and the tenures of Federal Reserve Chairs. The analysis identifies the Global Financi…
Econometrics (4 obras) · Economics (4 obras) · Mathematics (4 obras) · Statistics (4 obras) · Artificial Intelligence (2 obras) · Complex Systems and Time Series Analysis (2 obras) · Computer Science (2 obras) · Financial economics (2 obras) · Financial Markets and Investment Strategies (2 obras) · Financial Risk and Volatility Modeling (2 obras)