Research

(ORCID:0000-0001-7996-2015)

Publications

Kyriacou, M., Phillips, P.C.B., Rossi, F. (2021). `Continuously Updated Indirect Inference in Heteroskedastic Spatial Models‘, Econometric Theory. DOI: https://doi.org/10.1017/S0266466621000384 [Online Supplement, Cowles Foundation WP version, Matlab codes (on request)]

Kyriacou, M., Olmo, J., Strittmatter, M. (2020). `Optimal portfolio allocation using option implied information’, Journal of Futures Markets. DOI: 10.1002/fut.22177

Kyriacou, M., Olmo, J., Strittmatter, M. (2019). ‘Uncovering the distribution of option implied risk aversion’, Journal of Mathematical Finance. DOI: 10.4236/jmf.2019.92006

Chambers, M.J., Kyriacou, M. (2018) `Jackknife Bias Reduction in the Presence of a Near-Unit Root’, Special (Invited) Issue of `Econometrics: “Celebrated Econometricians: Peter Phillips”. DOI: 10.3390/econometrics6010011

Kyriacou, M., Phillips, P.C.B., Rossi, F. (2017) `Indirect Inference in Spatial Autoregression’, The Econometrics Journal. DOI: 10.1111/ectj.12084 (Supplement (updated: March 2021)

Kyriacou, M. (2016),`Overlapping sub-sampling and Invariance to Initial Conditions’, Communications in Statistics- Theory and methods. DOI: 10.1080/03610926.2014.999093

Chambers, M.J., Kyriacou, M. (2013), `Jackknife Estimation with a Unit Root’, Statistics and Probability Letters, 83, 1677-1682. DOI:10.1016/j.spl.2013.03.016.

Working Papers

`Continuously Updated Indirect Inference in Heteroskedastic Spatial Models‘ (with Peter C. B. Phillips and F. Rossi). COWLES FOUNDATION DISCUSSION PAPER NO. 2208. (Supplement (updated: March 2021); Code & Data: Available on request).

`Spatial Heterogenous Autoregression with Varying-Coefficient Covariate Effects’ (with Z. Lu,  P. C. B. Phillips and X. Ren).

‘Machine Learning Algorithms for House Price Determination’.

`Jackknife bias reduction in the presence of a unit root’ (with M. J. Chambers)– (Discussion Paper No. 685, Department of Economics, University of Essex).

`Jackknife Bias reduction in Autoregressive models with a unit Root’} (with M. J. Chambers) (Centre for Econometric Analysis (CEA@Cass) Working Paper Series, Cass Business School, WP-CEA-02-2012).