2023
Fernandez, M. F., Henry, O., Pybis, S., & Stamatogiannis, M. P. (2023). Can we forecast better in periods of low uncertainty? The role of technical indicators. JOURNAL OF EMPIRICAL FINANCE, 71, 1-12. doi:10.1016/j.jempfin.2022.12.014DOI: 10.1016/j.jempfin.2022.12.014
2022
Kostakis, A., Magdalinos, T., & Stamatogiannis, M. (n.d.). Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?. Journal of Econometrics.
Ellington, M., Stamatogiannis, M. P., & Zheng, Y. (2022). A study of cross-industry return predictability in the Chinese stock market. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 83. doi:10.1016/j.irfa.2022.102249DOI: 10.1016/j.irfa.2022.102249
2019
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.2018.07.017DOI: 10.1016/j.ijforecast.2018.07.017
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.2019.03.003DOI: 10.1016/j.jmacro.2019.03.003
2016
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:10.1111/1477-9552.12129DOI: 10.1111/1477-9552.12129
2015
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/hhu139DOI: 10.1093/rfs/hhu139
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.2015.02.012DOI: 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.2008.10.004DOI: 10.1016/j.jeconom.2008.10.004
