Research

Publications

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

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 SAR models with unobserved heterogeneity’ (with Peter C. B. Phillips and F. Rossi).

`Spatial Heterogenous Autoregression with Varying-Coefficient Covariate Effects’ (with Zudi Lu and Peter C. B. Phillips).

‘Optimal portfolio allocation using option implied information’ (with M. Strittmatter and J. Olmo). R&R at Journal of Futures Markets.

 

`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).

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