Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Sofia Anyfantaki"'
Autor:
Sofia Anyfantaki, Antonis Demos
Publikováno v:
Journal of Probability and Statistics, Vol 2011 (2011)
Time-varying GARCH-M models are commonly used in econometrics and financial economics. Yet the recursive nature of the conditional variance makes exact likelihood analysis of these models computationally infeasible. This paper outlines the issues and
Externí odkaz:
https://doaj.org/article/23bda20df6cb48bca40cacd5c514efc1
Autor:
Filippos Petroulakis, Sofia Anyfantaki
Publikováno v:
Economic bulletin. :7-42
The Greek economy has so far failed to shift its production structure towards more complex, high value-added activities incorporating knowledge-intensive practices. Greece lacks a systemic “activating knowledge” dimension. Given the country’s l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85600806e5ae162aceb072c847e651b1
https://doi.org/10.52903/econbull20225501
https://doi.org/10.52903/econbull20225501
Autor:
Sofia Anyfantaki, Petros Migiakis
Publikováno v:
Economic bulletin. :83-106
Addressing climate change through mitigation and adaptation measures requires changes in policies, technologies and consumption behaviours towards a low emissions model of growth. These structural changes require appropriate financial solutions, in o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::59036526d3e0fa9b92e5555aa9b31698
https://doi.org/10.52903/econbull20225504
https://doi.org/10.52903/econbull20225504
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0f38433d930a134c606e97479d0118e8
https://doi.org/10.2139/ssrn.4396319
https://doi.org/10.2139/ssrn.4396319
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1ace3d1d9155c4e81c9fafda8d20ee3d
https://doi.org/10.2139/ssrn.4464053
https://doi.org/10.2139/ssrn.4464053
Publikováno v:
European Journal of Operational Research. 295:378-393
We investigate whether cryptocurrencies provide diversification benefits to risk averters via a stochastic spanning methodology. We avoid the conceptual and statistical problems of non-stationary returns by providing a modification of the second orde
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3726057d23bcf2a57b4f4ce6d4c84e96
https://doi.org/10.1016/j.ejor.2021.02.058
https://doi.org/10.1016/j.ejor.2021.02.058
Publikováno v:
Journal of Business & Economic Statistics. 40:937-949
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utili...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c837d744f052a0ce0353d4b6d101a3e
https://doi.org/10.1080/07350015.2021.1888741
https://doi.org/10.1080/07350015.2021.1888741
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::97a1f7088ab7760c456b98b993af9173
https://doi.org/10.2139/ssrn.4154391
https://doi.org/10.2139/ssrn.4154391
Autor:
Sofia Anyfantaki, Stelios Arvanitis
Publikováno v:
Journal of Time Series Analysis. 41:341-350
We derive the limit theory of the Gaussian stable quasi maximum likelihood estimator for the stationary EGARCH(1,1) model when the squared innovation process has marginals with regularly varying tails. We derive regularly varying rates and limiting s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b44a8f0f9b54f66875578e53500f70f3
https://doi.org/10.1111/jtsa.12494
https://doi.org/10.1111/jtsa.12494
Publikováno v:
SSRN Electronic Journal.
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9065fab2f4b37299d5ee03a10880fcde
https://doi.org/10.2139/ssrn.3773725
https://doi.org/10.2139/ssrn.3773725