Let the fight (to publish) begin:



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3. “The fundamental properties of time varying AR models with non stochastic coefficients”:

The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we provide the linearly independent solutions to TV-AR models. Our solution formulas enable us to derive the fundamental properties of these processes, and obtain explicit expressions for the optimal predictors. We illustrate our methodology and results with a few classic examples amenable to time varying treatment, e.g, periodic, cyclical, and AR models subject to multiple structural breaks.

Regarding the above paper, four! editors told us:

integritya60Despite the four rejections I am boastful about this part of my research! Yes boastful as a peacock who displays his opening feathers:

Click here to learn more

Most importantly, we publish the paper, in 2022, as a chapter in a book:

Essays in Economic Theory and Policy 

in Honor of Professor Stella Karagianni”,

Ed. M. Pempetzoglou and D. Christou-Varsakelis,

…so no more:

fuc…king rejections




The End of the World:

The Best Poems about Apocalypse

In mid-twentieth-century Britain, there was a whole literary movement devoted to the end of the world: the Apocalypse Poets were a group of British writers inspired by Surrealism, and their work is awash with nightmarish images of war and chaos. But poets ranging far and wide have addressed the idea of apocalypse or the end of the world. Here are some of the very best apocalyptic poems.

1. W. B. Yeats, ‘The Second Coming’.

Turning and turning in the widening gyre

The falcon cannot hear the falconer;

Things fall apart; the centre cannot hold;

Mere anarchy is loosed upon the world,

The blood-dimmed tide is loosed, and everywhere

The ceremony of innocence is drowned;

The best lack all conviction, while the worst

Are full of passionate intensity.

Surely some revelation is at hand;
Surely the Second Coming is at hand.
The Second Coming! Hardly are those words out
When a vast image out of Spiritus Mundi
Troubles my sight: somewhere in sands of the desert
A shape with lion body and the head of a man,
A gaze blank and pitiless as the sun,
Is moving its slow thighs, while all about it
Reel shadows of the indignant desert birds.
The darkness drops again; but now I know
That twenty centuries of stony sleep
Were vexed to nightmare by a rocking cradle,
And what rough beast, its hour come round at last,
Slouches towards Bethlehem to be born?


2. Robert Frost, ‘Fire and Ice’.

Some say the world will end in fire,
Some say in ice.
From what I’ve tasted of desire
I hold with those who favor fire.
But if it had to perish twice,
I think I know enough of hate
To say that for destruction ice
Is also great
And would suffice.

Insainment Mind Space Apocalypse GIF - Insainment Mind Space Apocalypse Yolandi GIFs

3. T. S. Eliot, ‘The Hollow Men’. 


We are the hollow men

We are the stuffed men

Leaning together

Headpiece filled with straw. Alas!

Our dried voices, when

We whisper together

Are quiet and meaningless

As wind in dry grass

Or rats’ feet over broken glass

In our dry cellar

Shape without form, shade without colour,

Paralysed force, gesture without motion;

Those who have crossed

With direct eyes, to death’s other Kingdom

Remember us-if at all-not as lost

Violent souls, but only

As the hollow men

The stuffed men.

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Eyes I dare not meet in dreams

In death’s dream kingdom

These do not appear:

There, the eyes are

Sunlight on a broken column

There, is a tree swinging And voices are

In the wind’s singing

More distant and more solemn

Than a fading star.

Let me be no nearer

In death’s dream kingdom

Let me also wear

Such deliberate disguises

Rat’s coat, crowskin, crossed staves

In a field

Behaving as the wind behaves

No nearer-

Not that final meeting

In the twilight kingdom


This is the dead land

This is cactus land

Here the stone images

Are raised, here they receive

The supplication of a dead man’s hand

Under the twinkle of a fading star.

Is it like this

In death’s other kingdom

Waking alone

At the hour when we are

Trembling with tenderness

Lips that would kiss

Form prayers to broken stone.


The eyes are not here

There are no eyes here

In this valley of dying stars

In this hollow valley

This broken jaw of our lost kingdoms

In this last of meeting places

We grope together

And avoid speech

Gathered on this beach of the tumid river

Sightless, unless

The eyes reappear

As the perpetual star

Multifoliate rose

Of death’s twilight kingdom

The hope only

Of empty men.


Here we go round the prickly pear

Prickly pear prickly pear

Here we go round the prickly pear

At five o’clock in the morning.

Between the idea

And the reality

Between the motion

And the act

Falls the Shadow

For Thine is the Kingdom

Between the conception And the creation

Between the emotion

And the response

Falls the Shadow Life is very long

Between the desire

And the spasm

Between the potency

And the existence

Between the essence

And the descent

Falls the Shadow For Thine is the Kingdom

For Thine is

Life is

For Thine is the

This is the way the world ends

This is the way the world ends

This is the way the world ends

Not with a bang but a whimper.

Apocalypse GIFs | Tenor


2. “Inflation convergence in the EMU and the link between inflation differentials and their uncertainty”:

(Journal of Empirical Finance2016)

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We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2013. By applying recently developed panel unit root/stationarity tests overall we are able to accept the stationarity hypothesis. This means that some differentials are stationary and therefore there might be clubs of countries which have been in the process of converging absolutely or relatively. Thus next, having also obtained mixed evidence in favour of convergence using the univariate testing procedure, we use a clustering algorithm in the context of multivariate stationarity tests and we statistically detect three absolute convergence clubs in the pre-euro period, which comprise early accession countries. In particular, Luxembourg clusters with Austria and Belgium, while a second sub-group includes Germany and France and the third The Netherlands and Finland. We also detect two separate clusters of early accession countries in the post-1997 period: a sub-group with Germany, Austria, Belgium and Luxembourg, and one with France and Finland. For the rest of the countries/cases we find evidence of divergent behaviour. For robustness purposes we also employ a pairwise convergence Bayesian framework. The outcome broadly confirms our findings. We also show that in the presence of volatility spillovers and structural breaks time varying persistence will be transmitted from the conditional variance to the conditional mean. If this transmission mechanism is ignored unit root tests will have poor power and size properties. For example, they might falsely indicate stationarity and, hence, in the case of inflation differentials falsely reject the null hypothesis of divergence.

3. “Modelling the link between US inflation and output : The importance if the uncertainty channel”:

Stratovirus: Uncertainty

(Scottish Journal of Political Economy2015)

This article employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework, we examine the twelve potential intertemporal relationships among inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight how macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extent indirectly via the uncertainty channel.

After a lot of rather plain fights (and rejections!) with many referees (in  the last five years)  the above paper was accepted for publication:

4. “Conditional heteroscedasticity in macroeconomics data: UK inflation, output growth and their uncertainties”:

(in Handbook of Research Methods and Applications in Empirical Macroeconomics, Eds. Nigar Hashimzade and Michael Thornton, 2013)

The conditional heteroskedasticity models are widely used in the financial economics and less frequently so in other fields, including macroeconomics. However, certain applications lend themselves naturally to the investigation of possible links between macroeconomic variables and their volatilities, and here the conditional heteroskedasticity approach proved to be a powerful tool. The basics of the univariate models with conditional heteroskedasticity have been introduced in Chapter 2 in this volume. In this chapter, we extend this to a bivariate model and illustrate how this approach can be used to investigate the link between UK inflation, growth and their respective uncertainties, using a particular bivariate model with conditional heteroskedasticity. For recent surveys on multivariate GARCH specifications and their importance in various areas such as asset pricing, portfolio selection, and risk management see, for example, Bauwens et al. (2006) and Silvennoinen and Teräsvirta (2007).



To most people, uncertainty simply means not knowing: not knowing what next year’s vacation plans are, who their next client will be, or how long their savings will last.But to economists, uncertainty is paradoxically knowable. It can be measured, indexed, modeled, and correlated with other elements in the business cycle. One such element is economic growth—uncertainty is lower during booms and higher during busts: Kellogg School of Management at Northwestern University




B. Research on Volume and Volatility:

1. “Long-run dependencies in stock volatility and trading volume: evidence from an emerging market”:

(working paper)

This paper provides empirical evidence on the degree of long run dependence of volatility and trading volume in the Korean Stock Exchange using the semiparametric estimators of Robinson (1994, 1995a). The results of testing for long memory support the argument for long run dependence in both Garman-Klass volatility and trading volume (turnover). Total and domestic trading volume exhibit very similar long memory characteristics for all sample periods. The degree of long memory in foreign volume is significantly lower than that experienced in domestic volume. Interestingly, the results for trading volume are not influenced by structural breaks in the mean of the series. On the other hand, the long range dependence in volatility is quite sensitive to the different sample periods considered and comparable to foreign volume. Furthermore, the null hypothesis that volatility and volume share a common long memory parameter is only accepted for foreign volume and Garman-Klass volatility in all three subperiods. This result is consistent with a modified version of the mixture of distributions hypothesis in which volatility and volume have similar long memory characteristics as they are both ináuenced by an aggregate information arrival process displaying long range dependence. Finally, we find no evidence that foreign volume and volatility share a common long memory component.

Still struggling to publish this paper

'Does a blog count as being published.'