List of Current Publications

Accepted (2026)

1. Arvanitis, S., Demos, A. (2026). Gaussian Stochastic Volatility, Misspecified Volatility

Filters and Indirect Inference Estimation. Econometrics and Statistics. Accepted.

2. Arvanitis, S., Topaloglou, N., Tsomidis, G. (2026). Behavioral Personae, Stochastic

Dominance, and the Cryptocurrency Market. Annals of Operations Research. Accepted.

3. Arvanitis, S., Kyriazi, F., Thomakos, D. (2026). Market Timing and Predictive Complexity.

IMA Journal of Managerial Mathematics. Accepted.

Refereed publications

4. Arvanitis, S., & Demos, A. (2004). Time Dependence and Moments of a Family of

Time-Varying Parameter Garch in Mean Models. Journal of Time Series Analysis,

25(1), 1–25. DOI: 10.1046/j.0143-9782.2003.01771.x.

5. Arvanitis, S. (2004). The diffusion limit of a TVP-GQARCH-M (1, 1) model. Econometric

Theory, 20(1), 161–175. https://doi.org/10.1017/S0266466604201074.

6. Arvanitis, S., & Demos, A. (2005). Conditionally Heteroskedastic in Mean Models.

Quantitative Methods in Finance In Honour of Professor Andreas Kintis, pp. 169–200.

7. Arvanitis, S. (2013). On the Existence of Strongly Consistent Indirect Estimators

When the Binding Function Is Compact Valued. Journal of Mathematics, 2013, Article

ID 515830, 14 pages. http://dx.doi.org/10.1155/2013/515830.

8. Arvanitis, S., & Demos, A. (2014). Valid Locally Uniform Edgeworth Expansions

Under Weak Dependence and Sequences of Smooth Transformations. Journal of Time

Series Econometrics, 6(2), 183–235. https://doi.org/10.1515/jtse-2012-0003.

9. Arvanitis, S. (2014). A simple example of an indirect estimator with discontinuous

limit theory in the MA (1) model. Journal of Time Series Analysis, 35(6), 536–557.

DOI: 10.1111/jtsa.12080.

10. Arvanitis, S., & Louka, A. (2015). Limit Theory for the QMLE of the GQARCH

(1, 1) model. Communications in Statistics–Theory and Methods, 44(17), 3549–3575.

https://doi.org/10.1080/03610926.2013.847105.

11. Arvanitis, S., & Demos, A. (2015). A class of indirect inference estimators: higherorder

asymptotics and approximate bias correction. The Econometrics Journal, 18(2),

200–241. DOI: 10.1111/ectj.12045.

12. Arvanitis, S., & Demos, A. (2016). On the Validity of Edgeworth Expansions and

Moment Approximations for Three Indirect Inference Estimators. Journal of Econometric

Methods. https://doi.org/10.1515/jem-2015-0009.

13. Arvanitis, S., & Louka, A. (2016). A Note on the QMLE Limit Theory in the Nonstationary

ARCH (1) Model. Journal of Time Series Econometrics, 8(1), 21–39.

https://doi.org/10.1515/jtse-2014-0034.

14. Arvanitis, S., & Louka, A. (2016). A CLT for martingale transforms with infinite variance.

Statistics & Probability Letters, 119, 116–123. https://doi.org/10.1016/j.spl.2016.07.015.

15. Arvanitis, S. (2017). A Note on Stable Limit Theory for the OLSE with Non-Usual

Rates and the Heteroskedasticity Robust Wald Test. Communications in Statistics–

Theory and Methods. http://dx.doi.org/10.1080/03610926.2017.1300277.

16. Arvanitis, S. (2017). A note on the limit theory of a Dickey–Fuller unit root

test with heavy tailed innovations. Statistics & Probability Letters, 126, 198–204.

https://doi.org/10.1016/j.spl.2017.02.032.

17. Arvanitis, S., & Topaloglou, N. (2017). Testing for prospect and Markowitz

stochastic dominance efficiency. Journal of Econometrics, 198(2), 253–270.

https://doi.org/10.1016/j.jeconom.2017.01.006.

18. Arvanitis, S. (2017). Existence and uniqueness of a stationary and ergodic solution

to stochastic recurrence equations via Matkowski’s FPT. Cogent Mathematics, 4(1),

1380392. https://doi.org/10.1080/23311835.2017.1380392.

19. Arvanitis, S., Hallam, M., Post, T., & Topaloglou, N. (2017). Stochastic spanning.

Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.2017.1391099.

20. Arvanitis, S., & Louka, A. (2017). Stable limits for the Gaussian QMLE in

the non-stationary GARCH (1,1) model. Economics Letters, 161, 135–137.

https://doi.org/10.1016/j.econlet.2017.09.035.

21. Post, T., Karabatı, S., & Arvanitis, S. (2018). Portfolio optimization based on stochastic

dominance and empirical likelihood. Journal of Econometrics, 206(1), 167–186.

https://doi.org/10.1016/j.jeconom.2018.01.011.

22. Arvanitis, S., & Magdalinos, T. (2018). Mildly Explosive Autoregression Under Stationary

Conditional Heteroskedasticity. Journal of Time Series Analysis, 39, 892–908.

doi:10.1111/jtsa.12410

23. Arvanitis, S. (2019). Stable limit theory for the Gaussian QMLE in a non-stationary

asymmetric GARCH model. Statistics & Probability Letters, 145, 166–172.

24. Arvanitis, S., Scaillet, O., & Topaloglou, N. (2018). Spanning Tests for

Markowitz Stochastic Dominance. Journal of Econometrics, 217(2), 291–311.

https://doi.org/10.1016/j.jeconom.2019.12.005.

25. Post, T., Karabatı, S., & Arvanitis, S. (2019). Robust Optimization of Forecast Combinations.

International Journal of Forecasting, 35(3), 910–926.

26. Arvanitis, S., & Anyfantaki, S. (2019). On the limit theory of the Gaussian SQMLE

in the EGARCH (1, 1) model. Journal of Time Series Analysis.

27. Arvanitis, S., Post, T., & Topaloglou, N. (2021). Stochastic bounds for reference sets

in portfolio analysis. Management Science. https://doi.org/10.1287/mnsc.2020.3838.

28. Post, T., Potti, V., Arvanitis, S., & Karabatı, S. (2021). Nonparametric Tests for

Optimal Predictive Ability. International Journal of Forecasting, 37(2), 881–898.

https://doi.org/10.1016/j.ijforecast.2020.10.002.

29. Anyfantaki, S., Arvanitis, S., & Topaloglou, N. (2021). Diversification benefits in

the cryptocurrency market under mild explosivity. European Journal of Operational

Research. https://doi.org/10.1016/j.ejor.2021.02.058.

30. Arvanitis, S. (2021). Stochastic dominance efficient sets and stochastic spanning.

Decisions in Economics and Finance. https://doi.org/10.1007/s10203-021-00325-y.

31. Arvanitis, S., & Louka, A. (2022). Inconsistency for the Gaussian QMLE in GARCHtype

models with infinite variance. Communications in Statistics–Theory and Methods,

pp. 1–16.

32. Arvanitis, S. (2023). Concentration Inequalities for Kernel Density Estimators Under

Uniform Mixing. Journal of the Korean Statistical Society. 2023 Feb 24:1–0.

33. Arvanitis, S., & Post, T. (2023). Generalized Stochastic Arbitrage Opportunities.

Management Science. https://doi.org/10.1287/mnsc.2023.4892.

34. Arvanitis, S., Scaillet, O., & Topaloglou, N. (2023). Spanning Analysis of Stock

Market Anomalies Under Prospect Stochastic Dominance. Management Science.

https://doi.org/10.1287/mnsc.2023.4953.

35. Arvanitis, S., & Detsis, M. (2024). Mild Explocivity, Persistent Homology and Cryptocurrencies’

Bubbles: An Empirical Exercise. AIMS Mathematics, 9(1), 896–917.

(published online 4/12/23)

36. Arvanitis, S., & Post, T. (2024). Stochastic Arbitrage Opportunities: Set Estimation

and Statistical Testing. Mathematics, 12(4), 608.

37. Arvanitis, S., & Louka, A. (2024). Limit Theory of Martingale Transforms with heavytailed

noise. Theory of Probability and Mathematical Statistics. (Accepted; AMS)

38. Arvanitis, S., & Topaloglou, N. (2024). Block Empirical Likelihood Inference for

Stochastic Bounding: Large Deviations Asymptotics Under m-Dependence. Journal

of the Korean Statistical Society. (Accepted)

39. Arvanitis, S. (2025). Asymptotics of a QLR-type test for optimal predictive ability.

International Journal of Portfolio Analysis and Management. (Accepted)

40. Arvanitis, S. (2025). Distributionally Conservative Stochastic Dominance via Subsampling.

Statistical Analysis and Data Mining: An ASA Data Science Journal, 18(4):

e70038. https://doi.org/10.1002/sam.70038.

41. Arvanitis, S. (2025). Norm constrained empirical portfolio optimization with stochastic

dominance: Robust optimization non-asymptotics. Demonstratio Mathematica,

58(1), 20250141. https://doi.org/10.1515/dema-2025-0141.