Welcome to my website!
My name is Yiannis Karavias and I am currently Professor of Finance at Brunel University London. Prior to this I was an Associate Professor of Financial Economics at the University of Birmingham, in the Department of Economics. There, I also served as the Director of the Group for Research in Econometrics and Data Science.
Latest Research
*New* Threshold Regression in Heterogeneous Panel Data with Interactive Fixed Effects, R&R Journal of Business and Economic Statistics, with Marco Barassi and Chongxian Zhu
Multiple Structural Breaks in Interactive Effects Panel Data, Journal of Applied Econometrics, Accepted, 2024, with Jan Ditzen and Joakim Westerlund. Online Appendix.
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Journal of Business and Economic Statistics, 2023, with Paresh Kumar Narayan and Joakim Westerlund
Stata Commands
xtbreak: testing and estimation of structural breaks in time series and panel data with Jan Ditzen and Joakim Westerlund
xtgrangert: testing for Granger causality in panel data with Jiaqi Xiao, Arturas Juodis, Vasilis Sarafidis and Jan Ditzen
xtbunitroot: panel data unit root tests with structural breaks with Pengyu Chen and Elias Tzavalis