Photo of Dr Michalis P. Stamatogiannis

Dr Michalis P. Stamatogiannis

Senior Lecturer in Finance Finance and Accounting

Publications

Selected Publications

  1. Robust Econometric Inference for Stock Return Predictability (Journal article - 2015)
  2. The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators (Journal article - 2009)

2019

Forecasting the exchange rate using nonlinear Taylor rule based models (Journal article)

Wang, R., Morley, B., & Stamatogiannis, M. P. (2019). Forecasting the exchange rate using non-linear Taylor rule based models. International Journal of Forecasting, 32(2), 429-442. doi:10.1016/j.ijforecast.2018.07.017

DOI: 10.1016/j.ijforecast.2018.07.017

Testing for news and noise in non-stationary time series subject to multiple historical revisions (Journal article)

Hecq, A., Jacobs, J. P. A. M. J., & Stamatogiannis, M. P. (n.d.). Testing for news and noise in non-stationary time series subject to multiple historical revisions. Journal of Macroeconomics. doi:10.1016/j.jmacro.2019.03.003

DOI: 10.1016/j.jmacro.2019.03.003

2018

Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable? (Scholarly edition)

Kostakis, A., Magdalinos, T., & Stamatogiannis, M. P. (2018). Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?.

2016

Agricultural Commodity Price Shocks and Their Effect on Growth in Sub-Saharan Africa (Journal article)

Addison, T., Ghoshray, A., & Stamatogiannis, M. P. (2016). Agricultural Commodity Price Shocks and Their Effect on Growth in Sub-Saharan Africa. Journal of Agricultural Economics, 67(1), 47-61. doi:10.1111/1477-9552.12129

DOI: 10.1111/1477-9552.12129

2015

Robust Econometric Inference for Stock Return Predictability (Journal article)

Kostakis, A., Magdalinos, T., & Stamatogiannis, M. P. (2015). Robust Econometric Inference for Stock Return Predictability. Review of Financial Studies, 28(5), 1506-1553. doi:10.1093/rfs/hhu139

DOI: 10.1093/rfs/hhu139

Centurial evidence of breaks in the persistence of unemployment (Journal article)

Ghoshray, A., & Stamatogiannis, M. P. (2015). Centurial evidence of breaks in the persistence of unemployment. Economics Letters, 129, 74-76. doi:10.1016/j.econlet.2015.02.012

DOI: 10.1016/j.econlet.2015.02.012

2009

The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators (Journal article)

Lawford, S., & Stamatogiannis, M. P. (2009). The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators. JOURNAL OF ECONOMETRICS, 148(2), 124-130. doi:10.1016/j.jeconom.2008.10.004

DOI: 10.1016/j.jeconom.2008.10.004