“A result of almost twenty years of hard work…”


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

Papers Published: 1998-2020

2016-2020  koaladance


(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. NoikokyrisQuantitative easing and the UK stock market: does the Bank of England information dissemination strategy matter?“, Economic Inquiry, 2019, 57, 1, 567-583,  QE

(2) and P. Koutroumpis, Z.  Margaronis, R.  Nath. “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 EurozoneFigures-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}

 (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

The four coauthors: From left to right:


Koutroumpis, Karanasos, Arakelian, Karavias

2011-2015 koaladance


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

(2) 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.


(1) 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}

(2) 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}  


2006-2010 koaladance


(1) 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}

(2) 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, 16836-851. 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?

I WILL DIE A SOLEMN 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.




(1) “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}

(2) 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):


(3) 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}

(4) 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}


(1) 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 ARCHJHamiltonEngle.pdf , T. Berger, S. Grabert, B. Kempa, Oxford Bulletin of Economic and Statistics, 2016}

(2) “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}


(1) 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 }

(2) 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 }

(3) 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 }

(4) 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 }

(5) 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 }




2001-2005 koaladance


(1)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

(2) 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)


(3) 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)}

(4) and J KimOn 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}

(5) 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 }

(6) 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 }


(1) 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):


(2) 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 }

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

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

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

(6) 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

(7) 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

(8) 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.

(1) 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)

(2) 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


1998-2001 koaladance


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}