Dr Efthymios Pavlidis

Senior Lecturer

Research Overview

My main research interests are international macroeconomics, international finance, and time series econometrics. I am currently working on the measurement of market integration by applying Bayesian econometric methods on international price differences, the development of statistical tests for bubble detection in asset markets, and nonlinear modeling and forecasting of exchange rates.

Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test to the Dallas Fed International House Price Database
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A., Grossman, V. 2014 Lancaster : Lancaster University, Department of Economics, 29 p.
Working paper

Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
Pavlidis, E., Paya, I., Peel, D. 02/2013 In: Studies in Nonlinear Dynamics and Econometrics. 17, 3, p. 297-312. 16 p.
Journal article

Nonlinear dynamics in economics and finance and unit root testing
Pavlidis, E., Paya, I., Peel, D., Siriopoulos, C. 2013 In: European Journal of Finance. 19, 6, p. 572-588. 17 p.
Journal article

A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
Pavlidis, E., Paya, I., Peel, D. 7/09/2012 Lancaster : The Department of Economics, 26 p.
Working paper

Dynamic Estimation of Trade Costs from Real Exchange Rates
Pavlidis, E., Pavlidis, N. 2012 Lancaster : The Department of Economics
Working paper

Forecast evaluation of nonlinear models: the case of long-span real exchange rates
Pavlidis, E., Paya, I., Peel, D. 2012 In: Journal of Forecasting. 31, 7, p. 580-595. 16 p.
Journal article

Real Exchange Rates and Time-Varying Trade Costs
Pavlidis, E., Paya, I., Peel, D. 2011 In: Journal of International Money and Finance. 30, 6, p. 1157-1179. 23 p.
Journal article

Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
Pavlidis, E., Paya, I., Peel, D. 2010 In: Studies in Nonlinear Dynamics and Econometrics. 14, 3, p. 1-38. 38 p.
Journal article

Further empirical evidence on the consumption-real exchange rate anomaly.
Pavlidis, E., Paya, I., Peel, D. 2010 Lancaster : Lancaster University, Department of Economics, 22 p.
Working paper

Bubbles in House Prices and their Impact on Consumption: Evidence for the US
Pavlidis, E., Paya, I., Peel, D., Spiru, A.M. 2009 Lancaster University : The Department of Economics
Working paper

The econometrics of exchange rates
Pavlidis, E., Paya, I., Peel, D. 2009 In: The Handbook of Econometrics Vol. 2. London : Palgrave p. 1025-1083. 59 p. ISBN: 9781403917997.
Chapter

Computational intelligence algorithms for risk-adjusted trading strategies.
Pavlidis, N., Pavlidis, E., Epitropakis, M., Plagianakos, V., Vrahatis, M. 01/2008 In: IEEE Congress on Evolutionary Computation CEC 2007. Singapore : IEEE p. 540-547. 8 p. ISBN: 978-1-4244-1339-3.
Chapter

Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution
Paya, I., Pavlidis, E., Peel, D. 2008 In: Advances in Doctoral Research in Management Vol. 2. Singapore : World Scientific Publishing ISBN: 9789812778659.
Chapter