14 papers
Weak Convergence for Self-Normalized Partial Sum Processes in the Skorokhod M1 Topology with Applications to Regularly Varying Time Series
Christis Katsouris
In this paper we study the weak convergence of self-normalized partial sum processes in the Skorokhod M1 topology for sequences of random variables which exhibit clustering of larg…
Robust Estimation in Network Vector Autoregression with Nonstationary Regressors
Christis Katsouris
This article studies identification and estimation for the network vector autoregressive model with nonstationary regressors. In particular, network dependence is characterized by…
Structural Analysis of Vector Autoregressive Models
Christis Katsouris
This set of lecture notes discuss key concepts for the Structural Analysis of Vector Autoregressive models for the teaching of a course on Applied Macroeconometrics with Advanced T…
Optimal Estimation Methodologies for Panel Data Regression Models
Christis Katsouris
This survey study discusses main aspects to optimal estimation methodologies for panel data regression models. In particular, we present current methodological developments for mod…
Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models
Christis Katsouris
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent pr…
Unified Inference for Dynamic Quantile Predictive Regression
Christis Katsouris
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under…