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Research Activities My academic research is in the following areas. I.
Empirical Finance with an emphasis on trading rules, asset pricing
and market microstructure II.
Econometric Theory with an emphasis on decision theory and
forecasting III.
Zipf’s law with an emphasis on urban economics IV.
Applied Political
Economy with an emphasis on electoral
cycles My papers can be downloaded from my author page at
the Social Science Research Network. Here they are listed by primary subject area and
some supplementary materials are provided. Empirical Finance with an emphasis on trading rules, asset pricing and market
microstructure "Financial Returns and Efficiency as seen by an
Artificial Technical Analyst", 2001, Journal Of Economic Dynamics And
Control (25)1-2, 213-244. Winner of the 1998 Graduate student paper contest
of the Society of Computational Economics. See also a somewhat outdated
technical analysis bibliography "Learning to profit with discrete investment
rules", 2001, Quantitative Finance 1(2), 284-8. "An Introduction to Risk Neutral
Forecasting", in Computational Finance, Y.S. Abu-Mostafa, B. LeBaron,
A.W. Lo, and A.S. Weigend (Eds), 1999, MIT Press. "Parametric market timing for mean-variance
investors", under revision for second resubmission to Journal of Financial
Econometrics. This paper replaces a previous paper titled “Risk Neutral
Forecasting”. "Markets change every day: evidence from the
memory of trade direction", forthcoming, Journal of Empirical Finance Several other papers in this area are under anonymous
review at journals so are not listed here. Econometric Theory with an emphasis on decision theory and
forecasting “Exact computation of max weighted score
estimators”, (with Costas Florios), 2008,
Journal of Econometrics, 146(1),
86-91. Fortran code and a manual to
implement our algorithm can be found here.
A windows executable with a manual can be found here. "Decisionmetrics: A decision-based approach to
econometric modelling", 2007,
Journal of Econometrics,137, 414-40. Crowell Memorial
Prize 2001, second place. More details on the Decisionmetrics Project can be
found here.
"The sign of a mean regression:
characterisation, estimation and applications", under revision for first
resubmission to Econometric Theory. "Decision-based methods for forecast
evaluation", (with M. Hashem Pesaran) in Companion to Economic
Forecasting, M.P. Clements and D.F. Hendry (Eds), 2001, Basil Blackwell. "An algorithm for computing estimators that
optimize step functions", Computational Statistics and Data Analysis
2003, 42 (3), 349-361. Abstract and paper from SSRN. Matlab code. Review of “Comparison of some statistical methods of
probabilistic forecasting of ENSO, by S.J. Mason and G.M. Mimmack, Journal of
Climate, 15-8- Zipf’s law with an emphasis on urban economics “Lognormality fr most cities but a power law for
most of the population”, with Yannis Ioannides; this replaces a paper titled
"Gibrat's law for (all) cities: A rejoinder". “Explaining Zipf’s Law for US cities” with an
extensive Appendix "Gibrat's law does not imply Zipf's law" Applied Political Economy with an emphasis on electoral cycles “Electoral Misgovernance Cycles: Wildfires and tax
evasion in Greece”, with Nicos Christodoulakis Please download papers from my author page at the Social Science Research Network. |
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Assistant
Professor • Athens University of Economics and Business • 76 Patission st •
Athens , 10434 • Greece |
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Tel: + 30 210
8203929 • Fax: + 30 210 8214122 • e-mail: skouras@aueb.gr |