ANTONIS A. DEMOS


 

 

 

 


PUBLICATIONS IN INTERNATIONAL JOURNALS:



‘UK Stock Market Efficiency and the Risk Premium’’ (with G. Vasilellis), Multinational Finance Journal, Vol. 11, 2007, 97-122.

 


“An event study analysis of outward foreign direct investment: the case of Greece” (with F. Filippaios, and M. Papanastassiou),
International Journal of the Economics of Business
Vol. 11/3, 2004, 329-348.


‘‘Time Dependence and Moments of a Family of Time-Varying Parameter GARCH in Mean Models’’ (with S. Arvanitis),
The Journal of Time Series Analysis
25, 2004, 1-25.


“Moments and Dynamic Structure of a Time-Varying-Parameter Stochastic Volatility in Mean Model”,
The Econometrics Journal
5.2, 2002, 345-357.


‘‘Central Limit Theorem for Squared MA Infinity Process’’  Problem 99.6.1 in Econometric Theory, 1999, p.901.


‘‘Testing Asset Pricing Models: the Case of Athens Stock Exchenge’’ (with S. Parissi) Multinational Finance Journal,
2, 1998, 189-223. Best Paper Award, 1998 issue.


‘‘Testing for GARCH Effects: A One-sided Approach’’ (with E. Sentana) Journal of Econometrics, 86, 1998, 97-127.


‘‘An EM Algorithm for Conditionally Heteroskedastic Factor Models’’ (with E. Sentana) Journal of Business and Economic Statistics,
16.3, 1998, 357-361.


‘‘The Interaction between Frequency of Market Quotations, Spread, and Volatility in the Foreign Exchange Market’’
(with C. Goodhart), Applied Economics, 28 1996, 337-386.


‘‘Observations on the Swiss Franc/Dollar Spot Rate, via Quotations on the Reuters Screens’’ (with C. Goodhart),
Financial Markets and Portfolio Management
7, 1993.


‘‘Observations on the European Currency Unit/Dollar Spot Rate, via Quotations on the Reuters Screens’’
(with C. Goodhart), ECU Newsletter, June, 1992.


‘‘Observations on the Dutch Guilder/Dollar Spot Rate, via Quotations on the Reuters Screens’’ (with C. Goodhart),
Bank-en Effectenbedrijf
, June, 1992.


‘‘Reuters Screen Images of the Foreign Exchange Market Continued: The Yen/Dollar and the Pound/Dollar Spot Market’’
(with C. Goodhart), The Journal of International Securities Markets, Spring, 1991.


‘‘Reuters Screen Images of the Foreign Exchange Market: The Deutschemark/Dollar Spot Market’’ (with C. Goodhart),
The Journal of International Securities Markets
, Winter, 1990.






 

OTHER PUBLICATIONS:


‘‘Conditional Heteroskedasticity in Mean Models” (with S. Arvanitis) in Quantitative Methods in Finance in Honor of Prof. A. Kintis,
Editor A. Refenes, Typothito, 2004.


‘‘Risk and Return in January: Some UK Evidence’’ (with E. Sentana and M. Shah) in Econometric Analysis of Financial Markets,
Editors: J. Kaehler and P. Kugler, Physica-Verlag, 1994.


‘‘No Evidence of Chaos but Some Evidence of Multifractals in the Foreign Exchange and Stock Markets’’
(with C. Vassilicos and F. Tata) in Application of Fractals and Chaos. The Shape of Things,
Editors: A.J. Crilly, R.A. Earnshaw and H. Jones, Springer-Verlag, 1993.






 

REFEREEING FOR INTERNATIONAL JOURNALS:


Journal of Econometrics, Multinational Finance Journal, Economica, Journal of Economics and Finance,
Econometric Theory, Journal of Financial Econometrics.

 


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