“A result of almost twenty years of hard work…

KoalaSleeping     Picture

 A picture is worth a thousand words but the koala tells the story

Papers Forthcoming

(1) and S. Yfanti, C. Zopounidis, A. Christopoulos “Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics”, European Journal of Operational Research, 2023,   304, 813-831, EJOR2023.pdf

(2) and S. Yfanti “Financial volatility modeling with option-implied information and important macro-factors”,  Journal of the Operational Research Society, 2022, JORS.pdf

(3) and A. Paraskevopoulos, S. Dafnos “The fundamental properties of time varying AR models with non stochastic coefficients”, In “Essays in Economic Theory and Policy in Honor of Professor Stella Karagianni”, Ed. M. Pempetzoglou and D. Christou-Varsakelis,  TVPER2022.pdf

(4) and N. Campos, P. Koutroumpis, E. Glebkina. “Financial development, political instability and growth in Brazil: evidence from a new dataset, 1890-2003″, Open Economies Review, OER2022.pdf

(5) and MMI (Me, Myself and I). “Some possible links (however few these may be) between economics and poetry: The Greeks believed it was the poet who could get nearest the truth”, In “Essays in Economic Theory and Policy in Honor of Professor Stella Karagianni”, Ed. M. Pempetzoglou and D. Christou-Varsakelis.

Papers Revised and Resubmitted

(1) and A. Paraskevopoulos, T. Magdalinos, A. Canepa. “A unified theory for the large family of time varying models with ARMA representations: One solution fits all”,  TimeVarying2021.pdf (second round)

(2) and N. Campos, P. Koutroumpis, E. Glebkina. “The finance growth nexus and public-private ownership of banks in Brazil since 1870″ (second round)

(3)  and  Z. Margaronis, R. B. Nath, G. S. Metallinos, S. Yfanti,  “An Advanced approach to algorithmic portfolio management” Algorithmic Portfolio Management.pdf (second round)

(4) and S. Yfanti, J. Wu. “The short- and long-run cyclical variation of the cross-asset nexus: MIDAS evidence on financial and financialised assets” (second round)

Papers submitted for publication

(1) and A. Paraskevopoulos. “Explicit and compact representations of the one-sided Green’s function and the solution of Linear difference equations with variable Coefficients”,  Green’s Function.pdf

(2) M. Karanasos et. al. “Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Importance of Matrix Inequalities”

(3) and G-M. Caporale, S. Yfanti. “Macro-financial linkages in the high-frequency domain: the effects of uncertainty on realized volatility”, MacroFin.pdf

(4) and A. Canepa, A. Paraskevopoulos. “Forecasting inflation: A GARCH-in-mean-level Model with time varying predictability “,  TVGM.pdf

BUT: First submit your paper for proofreading and then submit it for publication:



Papers soon to be submitted for publication

(1) and Y. Xu, S. Yfanti, A. Paraskevopoulos. “The Mixture Multivariate Unrestricted Full Asymmetric GARCH Model with Dynamic Correlations”

(2) and R. Baillie, A. Paraskevopoulos and P. Sibbertsen. “A theory for the AR process of infinite order”

(3) and N. Campos, P. Koutroumpis. “Finance, institutions and growth in Brazil since 1890: Evidence from a new dataset”, BrazilST.pdf

(4) and N. Campos, P. Koutroumpis. “Economic growth, financial development and political instability: Brazil, 1890-2003″, FinDev.pdf



Their comments are even more weird…AOUOUOUOUOUOU:





Work in Progress


(1) and A. Canepa, A. Paraskevopoulos. “Time varying volatility modelling: Theory and applications”

(2) and V. Arakelian, A. Canepa.  “The time series properties for GARCH-in mean models with time dependent coefficients”

(3) and V. Arakelian, A. Canepa. “Is there a unit root (or even two)? And if yes, where?”

Image result for WEIRDEST CREATURES OF ALL gif




10 weird creatures that actually exist


Long hours in front of a computer could give you….


one more rejection…

To those referees that to MY SURPSRISE reject my papers I only have to say:


One of my favourite mottos is:


Unfortunately, I tried to go to it but it seems that I got lost on the way!

Papers published:


(1) and S. Yfanti, J. Hunter. “Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers”, Annals of Operations Research, 2022, ANOR2022.pdf

(2) and S. Yfanti, G. Chortareas, E. Noikokyris. “A three-dimensional asymmetric power HEAVY model”,   International Journal of Finance and Economics, 2022, 27(3), 2737-2761, IJFE2022.pdf


(1) and S. Yfanti, A. Christopoulos “The long memory HEAVY process: modeling and forecasting financial volatility”, Annals of Operations Research, 306, 111-130 ANOR.pdf

(2) and  G-M. Caporale, S. Yfanti, A. Kartsaklas. “Investors’ trading behaviour and stock market volatility during crisis periods: a dual long-memory model for the Korean stock exchange”, International Journal of Finance and Economics,  26(3), 4441-4461, 2021, Korea.pdf

(3) and S. Yfanti. “On the economic fundamentals behind the dynamics of equicorrelations among asset classes: Global evidence from equities, real estate and commodities”, Journal of International Financial Markets, Institutions & Money, 2021, 74 (101292), JIFMIM2021.pdf

(4) and N. Campos, M. Karoglou, P. Koutroumpis, C. Zopounidis, A. Christopoulos . “Apocalypse Now, Apocalypse When? Economic Growth and Structural Breaks in Argentina (1886-2003)”, Economics of Transition and Institutional Change, 2021, 30(1), 3-22, ET.pdf


(1) and N. Campos, P. Koutroumpis, J. Zhang. “Political instability, institutional change and economic growth in Brazil since 1870″, Journal of Institutional Economics, 2020, 16, 883-910, Braz_Insti.pdf

(2) and  S. Yfanti. “On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe” European Journal of Finance, 2020, 26(12), 1146-1183, MacroDrivers.pdf


(1) and G. Chortareas, E. Noikokyris. “Quantitative easing and the UK stock market: does the Bank of England information dissemination strategy matter?“, Economic Inquiry, 2019, 57, 1, 567-583,  Impact of QE

(2) and P. Koutroumpis, Z.  Margaronis, R.  Nathn. “The Importance of rollover in commodity returns using PARCH models”, In:  J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio, B. Sanhaji(Eds.), “Financial Mathematics, Volatility and Covariance Modelling”, Volume 2, Routledge, Advances in Applied Financial Econometrics.


(1) and F. Menla Ali, Z. Margaronis, R. Nath.”Modelling time varying volatility spillovers and conditional correlations across commodity metal futures”, International Review of Financial Analysis, 2018, 57, 246-256,  Metals2017

{Cited by 13 (as of April 2019): i.e. P. Fiszeder et al., Journal of Empirical Finance, 2019; Y. Chen, F. Qu, Physica A: Statistical Mechanics and its Applications, 2019}

(2) and J. Hatgioannides, M. Karanassou, H. Sala, P. Koutroumpis. “The legacy of a fractured Eurozone: the Greek dra(ch)ma”, Geoforum, 2018, 93, 11-21,    Fractured Eurozone, Figures-Tables

{Cited by 4 (as of April 2019): i.e. S. Corbet, C. Larkin, Geoforum, 2019; A. Bodea, Jose Santos, International Review of Economic Policy, 2019}


and J. Hatgioannides, M. Karanassou, P. Koutroumpis. “The Greek Dra(ch)ma: 5 years of austerity. The three Economists’ view and a comment.” GreekDrama.pdf ,  “POLITICAL ECONOMY PERSPECTIVES ON THE GREEK CRISIS”, Ed. I. Bournakis and C. Tsoukis.



(1) and P. Koutroumpis, Y. Karavias, V. Arakelian. “Inflation convergence in the EMU”, Journal of Empirical Finance, 2016, 39, 241-253, JEF2016.pdf

{Cited by 11 (as of April 2019): i.e. M. Tsafa-Karakatsanidou, S. Fountas, Applied Economics Quarterly, 2018}

The four coauthors: From left to right:


Koutroumpis, Karanasos, Arakelian, Karavias

 (2)   and S. Yfanti, M. Karoglou. “Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis”, International Review of Financial Analysis, 2016, 45, 332–349, IRFA2016.pdf

{Cited by 29 (as of April 2019): i.e. PA Grout, A Zalewska, International Review of Financial Analysis, 2016; CC de Resende et al., Physica A: Statistical Mechanics and its Applications, 2017}

(3)   and N. Campos, B Tan. “From riches to rags, and back? Institutional change, financial development and economic in Argentina since the 1890″,  Journal of Development Studies, 2016, 52, 206-223, JDS2016.pdf

{Cited by 9 (as of April 2019): i.e. S Sanfilippo-Azofra et al., Journal of Macroeconomics, 2018; Apergis and Apergis, Empirical Economics, 2019}

(4) and S. Bhaumik, A Kartsaklas. “The informative role of trading volume in an expanding spot and futures market”, Journal of Multinational Financial Management,  2016, 35, 24-40, JMFM2016.pdf



and C. Conrad. “On the transmission of memory in GARCH-in-mean models”, Journal of Time Series Analysis, 2015, 36, 706-720,  JTSA15.pdf

and C. Conrad. “Modeling the link between US inflation and output: the importance of the uncertainty channel”,  Scottish Journal of Political Economy, 2015, 62(5), 431-453, SJPE15.pdf




The year 2014 saw many important events. While some received a warm welcome, some were not quite pleasant:



Here is a compilation of the 2014 events that created a stir and dominated the world’s attention in 2014:
On August 15, 2014 Panama celebrated 100th anniversary of opening of its canal.
It has been a downhill ride for Michael Schumacher ever since he met with a ski accident on December 29, 2013.
The Thai General Election held on 2 February 2014 was declared null and void owing to the fact that the election was not completed on the same day throughout the nation.
ISIS Seized Large Regions in Iraq and Syria.
The 20th Football World Cup took place in Brazil, the host country.
After a decade-long journey , the European Spacecraft Rosetta finally made history by becoming the first ever space vehicle to orbit and land on a comet.
In what is termed as the biggest acquisition for a social media company, Facebook acquired WhatsApp, the mobile messaging service for $19 billion.
Flight MH370 vanished in less than one hour after it took off from Kuala Lumpur on the morning of 8 March, 2014.
2014 brought yet another heartbreaking tragedy, as the South Korean ferry carrying 476 people, predominantly high school students, capsized, and sank en-route to Jeju island.
With more than 18,000 cases and 6,598 deaths, (as of 10 December 2014) Ebola can be termed as one of the largest, deadliest, and complex epidemics the world has ever witnessed.
See more at: Remember 2014

I almost forgot. In 2014 an important paper was published in the JEF:

and A. Paraskevopoulos, F. M. Ali, M. Karoglou, S. Yfanti. “Modelling stock volatilities during financial crises: a time varying coefficient approach”, Journal of Empirical Finance, 2014, 29, 113-228,  JEF14.pdf

{Cited  by   6 (as of March 2019): i.e. L. Yarovaya, J. Brzeszczyński, C. K. M. Lau, International Review of Financial Analysis, 2017, 2018; A. BenSaïda, Journal of Empirical Finance, 2014} 


What happened in 2013…in three minutes:

…and an important publication not captured live on camera:

and N. Zeng. “Conditional heteroscedasticity in macroeconomics data: UK inflation, output growth and their uncertainties”, HandbMacr2013.pdf

in Handbook of Research Methods and Applications in Empirical Macroeconomics, Eds. Nigar Hashimzade and Michael Thornton.


and N Campos, B Tan. “Two to tangle: financial development, political instability and growth in Argentina”, Journal of Banking and Finance, JBF12.pdf

{Cited  by  21 (as of March 2019): i.e. M. Hu, J. Zhang, C. Chao, International Review of Economics and Finance, 2019; H. F. de Mendonça, N.C. Nascimento,  North American Journal of Economics and Finance, 2018; C. Vithessonthi, International Review of Financial Analysis, 2014}

and C Kyrtsou. “Analyzing the link between stock volatility and volume by a Mackey-Glass GARCH-type model: the case of Korea”, Quantitative and Qualitative Analysis in Social Sciences (QASS) QASS12.pdf

{Cited  by  4 (as of March 2019): i.e. S. Celik, Business and Economic Research, 2013}


and C Conrad, N Zeng. ” Multivariate Fractionally integrated APARCH modelling of stock market volatility: a multi country study”, Journal of Empirical Finance, 2011, 18, 147-159,   JEF11.pdf

{Cited  by  37 (as of March 2019): i.e. F. N., Zargar, D. Kumar, Physica A, 2019; J. Nakajima, Econometric Reviews, 2017}  


and C Conrad. “Negative volatility spillovers in the unrestricted ECCC-GARCH model “, Econometric Theory , 2010, 26, 838-862. ET10.pdf

{Cited  by  22 (as of March 2019): i.e. T. Woźniak,  Econometric Reviews, 2018; R. S. Pedersen, Journal of Econometrics, 2017; R. Liu, L. Yang, Econometric Theory, 2016; C. Francq, J-M. Zakoïan, Journal of Royal Statistical Society, 2016}

and C Conrad, N Zeng. “The link between macroeconomic performance and variability in the UK “,

Economics Letters, 2010, 106, 154-157.  EL10.pdf

{Cited  by  7 (as of March 2019): i.e. A. Glas,  M. Hartmann, Journal of Empirical Finance, 2016}


and A Kartsaklas. “Dual long-memory, structural breaks and the link between turnover and the range based volatility”, Journal of Empirical Finance, 2009, 16, 836-851. JEF09.pdf

{Cited  by  8 (as of March 2019): i.e. E. Rossi, P. Santucci de Magistris, Journal of Empirical Finance, 2013}



Sir Clive Granger, who was awarded the Nobel prize for economics in 2003…,


and died in 2009:

(10 things that happen after you die: No 1: Finally, you stop getting rejections from weird referees, the other 9 things are not so important)

Isn’t it amazing that even Nobel laureates at the end they die?

by Kostas Ouranis
Translated by Alex Moskios

I will die a solemn Autumnal evening
In my chilly bedroom, like I lived: alone.
In my last agony I’ll hear the rain,
And the street noises that come through my pane.
I will die a solemn Autumnal sun down
In the midst of old furniture and books scattered around;
They’ll find me on my bed; they’ll call the police;
They’ll bury me like a man with no history to expound.
One of the friends in our weekly card game
Will ask while playing: “What happened to Ouranis?
Does any one know? I haven’t seen him for days!”
Will reply another: “Don’t you know? Ouranis just died!”
For a second they’ll stop, holding cards in their hands,
They will move their heads in some kind of solemn repose,
They will say: “What is man! Yesterday he was alive!”
And without another word they will continue their game.
One of my colleagues in the “Psila” will write
That “Prematurely has died overseas Mr. Ouranis,
A young man well known in our circles, who only
Recently published a collection of promising poems.”
And that will be my life’s only eulogy.
In the village my old folks will be sad and heart broken,
They will hold a memorial mass with priests to spare,
With my friends in attendance and the foes who would care.
I will die a dreary Autumnal sun down
In a rented room in the noisy Paris,
And a Katie, presuming I’ve forgotten her for another,
Will send me a letter and, though dead, she’ll insult me.
Ouranis (1850 – 1953) was born in Constantinople. He received his Elementary and High School educations in Leonidio and Nafplion, Greece and Constantinople, Turkey, respectively; and his college education in Paris, France. In 1920, he was appointed Greek Consul General of Lisbon, Portugal; and in 1924 he settled in Athens, where he subsequently held a number of prominent journalistic and managerial positions in a number of newspapers and magazines there. He died in the Athens area on 12 June 1953.
His poetic works published prior to his death include: “Like Dreams” (1909), “Spleen” (1912), and “Nostalgias” (1920). He is known as the last Greek romanticist of the modern times.



“The statistical properties of Exponential ACD models”, Quantitative and Qualitative Analysis in Social Sciences , 2008, 2(1), 29-49. QASS(08).pdf

{Cited  by 8 (as of March 2019): i.e. Y. Feng, C. Zhu, International Journal of Forecasting, 2015; N. Hautsch, Econometrics of Financial High-Frequency Data, 2012, Springer}

and N Campos. “Economic growth, volatility and political instability: non-linear evidence for Argentina, 1896-2000″, Economics Letters, 2008, 100, 135-137. EL(08).pdf

{Cited by 10 (as of March 2019): i.e.  C. A. Hartwell, Journal of Comparative Economics, 2017}

A photo of the two authors during their collaboration… (left top: Campos; right bottom: Karanasos):


and S Schurer. “Is the relationship between inflation and its uncertainty linear?”, German Economic Review ,2008, 9(3), 265-286.  GER(08).pdf

{Cited by 3 (as of March 2019): i.e.  , Journal of Quantitative Economics, 2017}

and S Fountas. “Are economic growth and the variability of the business cycle related ? Evidence from five European countries”, International Economic Journal , 2008, 22(4), 445-459.   IEJ(08).pdf

{Cited by 8 (as of March 2019): i.e. E. Tsouma, Theoretical Economics Letters, 2014}


and S Fountas. “Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7″, Journal of International Money and Finance, 2007, 26, 229-250. JIMF(07).pdf

{Cited by 79 (as of March 2019): i.e. Hamilton in Macroeconomics and ARCH: JHamiltonEngle.pdf , T. Berger, S. Grabert, B. Kempa, Oxford Bulletin of Economic and Statistics, 2016}

“The covariance structure of some financial time series models”, Quantitative and Qualitative Analysis in Social Sciences, 2007, 1(2), 71-87. QASS(07).pdf

{Cited by 6 (as of March 2019): i.e. L. S. Junior, I. D. P. Franca, Physica A,  2012}


and S Fountas, J Kim. “Inflation uncertainty, output growth uncertainty, and macroeconomic performance “, Oxford Bulletin of Economics and Statistics, 2006,68(3), 319-343.OBES(06).pdf

{Cited by 66 (as of March 2019): i.e. Ponomareva: PonomarevaCJE10.pdf }

and J Kim. “A re-examination of the asymmetric power ARCH model”, Journal of Empirical Finance , 2006, 13(1), 113-128. JEF(06).pdf

{Cited by 26 (as of March 2019): i.e. Booth: BoothJEF08.pdf }

and C Conrad. “The impulse response function of the long memory GARCH model” , Economics Letters, 2006, 90, 34-41. EL(06).pdf

{Cited by 16 (as of March 2019): i.e. Bollerslev in the Glossary to ARCH (GARCH): GlossaryBollerslev.pdf}

and S Sekioua, N Zeng. “On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data”, Economics Letters, 2006, 90, 163-169. EL1(06).pdf

{Cited by 18 (as of March 2019): i.e. Rapach in Federal Reserve bank of St. Louis ReviewRapach08.pdf }

and S Sekioua. “The real exchange rate and the purchasing power parity puzzle: Further evidence”, Applied Financial Economics, 2006, 16, 199-211. AFE(06).pdf

{Cited by 9 (as of March 2019): i.e.    , ,  2015 }

and S Fountas. “The relationship between economic growth and real uncertainty in the G3″, Economic Modelling, 2006, 23, 638-647.   EM(06).pdf

{Cited by 25 (as of March 2019): i.e. Lee: LeeEL10.pdf ; Charles, A., Darné, O., Ferrara, L. Economic Inquiry, 2018 }


and C Conrad. “On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory  approach”, Japan and the World Economy , 2005, 17, 327-343. JWE(05).pdf


{Top Cited Article: (Top 10 cited articles published in the last five years in Japan and the World Economy)
Extracted from Scopus (on Fri Jan 29 02:57:26 GMT 2010)

{Cited by 58 (as of March 2019): i.e. Asab, N.A., Cuestas, J.C., Montagnoli, A. PL0S One, 2018}



The countries most affected by the 1997 Asian financial crisis

and A Kartsaklas, J Kim. “The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997″,  Asia-Pacific Financial Markets, 2005, 12, 245-271. APFM(05).pdf

{Cited by 10 (as of March 2019): i.e. W. M.A. Ahmed, Journal of Asia Business Studies, 2018}

How the financial crisis could affect you (BBC News, January 1998)



and C Conrad. “Dual long memory in inflation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance”, Studies in Nonlinear Dynamics and Econometrics, 2005, 9 (4). SNDE(05).pdf

{Cited by 25 (as of March 2019)}

and J Kim “On the existence or absence of a variance relationship: a study of macroeconomic uncertainty”, WSEAS Transactions on Computers , 2005, 4, 1475-1482.WSEASC(05).pdf

{Cited by 10 (as of March 2019): i.e. K. B. Chowdhury, S. Kundu, N. Sarkar, Scottish Journal of Political Economy, 2018}

and J Kim. “The inflation-output variability relationship in the G3: a bivariate GARCH(BEKK)  approach”, Risk Letters, 2005, 1, 17-22.RL(05).pdf

{Cited by 26 (as of March 2019): i.e. H. Li, H. An, X. Liu, X. Gao, W. Fang, F. An, Energy, 2016 }

and S Schurer. “Is the reduction in output growth related to the increase in its uncertainty? The case of Italy”, WSEAS Transactions on Business and Economics , 2005, . WSEASBE(05).pdf

{Cited by 11 (as of March 2019): i.e. K. B. Chowdhury, N. Sarkar, Bulletin of Economic Research, 2018 }


and Z Psaradakis, M Sola. “On the autocorrelation properties of long memory GARCH processes”, Journal of Time Series Analysis, 2004, 25, 265-281. JTSA(04).pdf

{Cited by Ruiz: RuizCSDA09.pdf ; Baillie: BaiilieJEDC09.pdf; Conrad: ConradJFE06.pdf }

A photo of the three authors of the above paper: Me (left), Prof. Psaradakis (middle), Prof. Sola (right):


and S Fountas, A Ioannidi. “Inflation, inflation uncertainty and implications for a common European monetary policy”, The Manchester School , 2004, 72(2), 221-242. MS(04).pdf

{Cited by Caporale: CaporaleJIMF09.pdf ;Lahiri: LahiriJAE06.pdf }

and S Fountas, A Mendoza. “Output variability and economic growth: the Japanese case”, Bulletin of Economic Research, 56(4), 353-363. BER(04).pdf


(see: Bank of International Settlements)

and C Conrad. “The impulse response weights of long memory ACD models”, WSEAS Transactions on Mathematics, 3(3), 681-685.

“The statistical properties of long-memory ACD models”, WSEAS Transactions on Business and Economics, 2004, 2(1), 169-175. WSEASBE1(04).pdf

and J Hatgioannides, M Karanassou. “Permanent and transitory components in a continuous time model of the term structure”, WSEAS Transactions on Business and Economics, 2004, 2(1), 176-181. WSEASBE2(04).pdf

and M Karanassou,  S Fountas. “Analyzing US inflation by a GARCH model with simultaneous feedback”, WSEAS Transactions on Information Science and Application, 2004, 1(2), 767-772.WSEASIS04.pdf

and A. Kartsaklas. “The stock volatility-volume relation in France”, IASME Transactions, 2004, 1(4), 659-664.IASME(04).pdf


In 2oo3 Robert [the one and only (the one that is in New York and not the one that once upon a time was in the Old York)] Engle and Clife Granger were awarded the Nobel prize in Economic Sciences:


Robert F. Engle “for methods of analyzing economic time series with time-varying volatility (ARCH)” and Clive W.J. Granger “for methods of analyzing economic time series with common trends (cointegration)”.

Fifty years earlier George Seferis became the first Greek Nobel Laureate:


But don’t you feel out of place among so many scientists? So many historians?
No, because I am attracted by people whose interests are not in my own area.
How about the relation of the Greek poet to his particular historical tradition? You once said that there is no ancient Greece in Greece. What did you mean by that exactly?
I meant Greece is a continuous process. In English the expression “ancient Greece” includes the meaning of “finished,” whereas for us Greece goes on living, for better or for worse; it is in life, has not expired yet. That is a fact. One can make the same argument when one discusses the pronunciation of ancient Greek. Your scholars in America or in England or in France may be quite right in adopting the Erasmic pronunciation: for them Greek is a dead language; but for us it is another story. The fact is, you consider that ancient Greek has terminated its function at a certain point, and this enables you to pronounce it—with my regrets—in an arbitrary way.
Then you obviously see the Greek tradition in language, as well as in other things, as a continuous process. That is not the belief of some classical and Byzantine scholars in this country—and, I suppose, elsewhere.
You know why that happens? Because the subject, the history, of Greece is so large that each scholar limits himself to a certain period or branch, and nothing exists outside of it. For example, Gibbon considered that a thousand years of life were a decline. How can a people be in decline for a thousand years? After all, between the Homeric poems and the birth of Christ eight hundred years elapsed—or something like that—and then presumably there were a thousand years of decline.

and J Kim. “Moments of the ARMA-EGARCH model”, Econometrics Journal, 2003, 6(1), 146-166. EJ(03).pdf

Obituary: Daniel Nelson, GSB
(The University of Chicago Chronicle, May 11 1995, Vol. 14, No. 17)
Daniel B. Nelson, Associate Professor in the Graduate School of Business and a Hyde Park resident, died of lung cancer May 4 at the Hospitals. He was 36.
Nelson joined the University faculty in 1988 after receiving his Ph.D. in economics from MIT. He devoted his career to constructing and improving models for predicting future variability in financial data. He also studied the origins of the Great Depression.
The recipient of many academic honors and grants, Nelson was a faculty research fellow at the prestigious National Bureau of Economic Research at the time of his death. He also was serving as associate editor of both the Journal of Business and Economic Statistics and the Review of Financial Studies.
“Dan loved his research and teaching with the same fierce intensity that he loved his family,” said Robert Hamada, Dean of the GSB. “He was a well-respected teacher who always scored high in ratings from students.”
Nelson taught M.B.A. and Ph.D. classes in investments, applied business forecasting, econometrics and empirical methods in finance.
A popular speaker at academic workshops and conferences, he made more than 70 speaking appearances throughout the United States during the past seven years.
In addition to his research on models of time-varying asset volatility and on the Great Depression, he studied binomial options and bond pricing models. His research in progress included “Forecasting Returns Volatility With Statistical Models” and “Interpreting Chi-Square Tests in Asset Pricing Models.”
Nelson was a member of the American Economic Association, the American Finance Association and the American Statistical Association. He was also affiliated with the Economic Society, the Institute of Mathematical Statistics and the Society for Financial Studies.
He received two consecutive research grants from the National Science Foundation, in 1991 and 1993. The most recent grant enabled him to do research measuring risk in financial asset markets.
A prolific author, Nelson wrote dozens of academic articles dealing with financial and econometric topics, and his research appeared in many of the field’s leading publications. In addition, he served as a referee for 23 academic journals, including the American Economic Review and the Journal of Finance.
He is survived by his wife, Therese Allen Nelson, Manager of Special Projects for Administrative Information Systems, and their three children, Carolyn, Scott and Allen.

See also: Dan Nelson Remembered (Journal of Business & Economic Statistics, october 1995, Vol. 13, No. 4)

and C Alexiou, M Karanassou. “Stability pact and interest rate spillovers: evidence from two EU countries”,  Political Economy, 2003, 13, 31-55. PE(03).pdf


and S Fountas, J Kim. “Inflation and output growth uncertainty and their relationship with inflation and output growth”, Economics Letters, 2002, 75, 293-301. EL(02).pdf


“Prediction in ARMA models with GARCH in mean effects”, Journal of Time Series Analysis, 2001, 22(5), 555-576. JTSA(01).pdf


“The second moment and the autocovariance function of the squared errors of the GARCH model”, Journal of Econometrics, 1999, 90, 63-76. JE(99).pdf

{Cited by Terasvirta: TerasvirtaET04.pdf; Zaffaroni: ZaffaroniET04.pdf; Davidson: DavidsonJBES04.pdf; McAleer: McAleerJE02.pdf; Giraitis: GiraitisSPA02.pdf }


“A new method for obtaining the autocovariance of an ARMA model: an exact form solution”, Econometric Theory, 1998, 14, 622-640. ET(98).pdf

{Cited by P.C.B. Phillips in Econometric Theory: Phillips08.pdf}

Working Papers:

(1)   and A. Paraskevopoulos, S. Dafnos. “A unified theory for time varying models: foundations with applications in the presence of breaks and heteroscedasticity”.  (available upon request)

(2)   and A. Paraskevopoulos, S. Dafnos. “The fundamental properties of time varying AR models with non stochastic coefficients”. TVAR.pdf

(3)   and A. Paraskevopoulos, S. Dafnos. “A univariate time varying analysis of periodic ARMA processes’. PARMA.pdf

(4)   and A. Kartsaklas. “Long-run dependencies in stock volatility and trading volume: evidence from an emerging market”. LongRunDepend2014.pdf

(5) and B. Tan. “Central Bank preferences and power transformed inflation uncertainty: evidence from Asia”.



(6) and A. Christopoulos, Z. Margaronis, R. B. Nath, G. S. Metallinos. “An Advanced approach to algorithmic portfolio management”.




The Greek Dra(ch)ma





On Feb 13, 2012:

Clashes between police forces and greek people demonstrating for the economic plans of the government. The clashes started at 17:00 hours and keep going until 2:00 in the morning. Over 30 fires occurred at bank and public buildings all over the city. Over 100 people were injured by the clashes. People on the streets were estimated to be over 500.000.

Greece riots: Athens burns, police fire tear gas as violence flares up

Total Chaos; Riots Rage; Athens Resembles War Zone (Global Economic Analysis, February 13, 2012):

Greece Burning4

“The Greek parliament approved a deeply unpopular austerity bill to secure a second $130bn (£110bn) bailout and avoid a messy default after a day of street battles between police and protesters left Athens in flames: The Telegraph
“As more than 40 buildings went up in flames, including two historic cinemas and several banks, Athens city centre was left resembling a war zone with cafes and shops smashed and looted as MPs backed the austerity measures: The Guardian
“The chaos on the streets of Athens, where more than 80,000 people turned out to protest on Sunday, and in other cities across Greece reflected a growing dread — certainly among Greeks, but also among economists and perhaps even European officials — that the sharp belt-tightening and the bailout money it brings will still not be enough to keep the country from going over a precipice. […] Angry protesters in the capital threw rocks at the police, who fired back with tear gas. After nightfall, demonstrators threw Molotov cocktails, setting fire to more than 40 buildings, including a historic theater in downtown Athens, the worst damage in the city since May 2010, when three people were killed when protesters firebombed a bank. There were clashes in Salonika in the north, Patra in the west, Volos in central Greece, and on the islands of Crete and Corfu: The New York Times

The town is burning (SMYRNA):


“Resentment against the troika and the imposed austerity measures is reaching the breaking point in Greece, with the Germans being a target for particular scorn. On Friday, trade unions began a two-day general strike and demonstrators took to the streets of central Athens. Television footage showed protesters fighting running battles with police and throwing Molotov cocktails: Spiegel Online
Athens Burning: Tens of Banks in Flames (Tens of banks and other buildings are burning across Athens after today’s demonstrations. There are huge riots in Thessaloniki and Patra as well):
[Protesters run by a buring building in Athens during clashes with police on February 12, 2012. Greek police fired tear gas at petrol bomb-throwing protesters outside parliament, where tens of thousands had massed in a rally against austerity plans being debated by lawmakers. Police said some 80,000 protesters had gathered outside the building where debate on the plan imposed by the country's international creditors -- the EU, the IMF and the European Central Bank -- was ongoing before a late-night vote. AFP PHOTO / LOUISA GOULIAMAKI (Photo credit should read LOUISA GOULIAMAKI/AFP/Getty Images)] *** [] ** TCN OUT **

[Protesters run by a buring building in Athens during clashes with police on February 12, 2012. Greek police fired tear gas at petrol bomb-throwing protesters outside parliament, where tens of thousands had massed in a rally against austerity plans being debated by lawmakers. Police said some 80,000 protesters had gathered outside the building where debate on the plan imposed by the country’s international creditors — the EU, the IMF and the European Central Bank — was ongoing before a late-night vote.

Greek protests descend into chaos as rioters clash with police on streets of Athens (MailOnline, 15 December, 2010)



“Anger: Greece is stuck in its deepest financial crisis since the Second World War and huge cuts are affecting public services, leading to the demonstrations”

“Protesters clashed with riot police across Athens today, torching cars and hurling petrol bombs as demonstations against the government’s latest austerity measures turned nasty.  Police fired tear gas and flash grenades as the violence escalated outside parliament and spread to other parts of the capital.”








Violence and protests erupt on the streets of Athens ahead of parliamentary vote on the tough bailout measures (Independent, 15 July 2015):