Research Interests
Financial Econometrics
Time Series Econometrics
Selected Publications
Andreou E. and B.J.M Werker (2010) "An alternative asymptotic analysis of residual-based statistics", Review of Economics and Statistics, forthcoming.
Andreou E.,E.Ghysels and Kourtellos A.(2010) "Regression Models with mixed sampling frequencies", Journal of Econometrics, 158, 2, 246-261.
Andreou E. and E. Ghysels (2008) "Quality control for structural credit risk models", Journal of Econometrics, 146,2,364-375.
Andreou E. (2008), "Restoring monotone power in CUSUM test", Economics Letters,98,1,48-58.
Andreou E. and E. Ghysels (2006), “Monitoring disruptions in financial markets”, Journal of Econometrics, 135, 77-124.
Andreou E. and E. Ghysels (2004) "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests", Journal of Financial Econometrics, 2, 290-318.
Andreou E. and E. Ghysels (2003), "Tests for breaks in the dynamic co-movements of asset returns", Statistica Sinica, 13, 1045-1074.
Andreou E. and A. Spanos (2003), "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity", Econometric Reviews, 22, 3, 217-237 (lead article with contributed comments).
Andreou E. and E. Ghysels (2002), “Detecting multiple breaks in financial market volatility dynamics”, Journal of Applied Econometrics, 17, 5, 579-600.
Andreou E. and E. Ghysels (2002), "Rolling volatility estimators: Some new theoretical, simulation and empirical results", Journal of Business and Economic Statistics, 20, 3, 363-376.
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