List of Current Publications

1. 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.

2. 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.

3. Arvanitis, S., & Demos, A. (2005). Conditionally Heteroskedastic in Mean Models, Quantitative Methods in Finance In Honour of Professor Andreas Kintis, pp. 169-200

4. 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.

5. Arvanitis, S., & Demos, A. (2014), Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations, Journal of Time Series Econometrics, vol. 6 (2), pp. 183-235, DOI: https://doi.org/10.1515/jtse-2012-0003.

6. 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.

7. 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.

8. Arvanitis, S., & Demos, A. (2015). A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction. The Econometrics Journal, 18(2), 200-241, DOI: 10.1111/ectj.12045.

9. 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.

10. Arvanitis, S., & Louka, A. (2016). A Note on the QMLE Limit Theory in the Non-stationary ARCH (1) Model. Journal of Time Series Econometrics, 8(1), 21-39, DOI: https://doi.org/10.1515/jtse-2014-0034.

11. 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.

12. 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.

13. 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.

14. 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.

15. 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.

16. Arvanitis, S., Hallam, M., Post, T., & Topaloglou, N. (2017), Stochastic spanning. Journal of Business & Economic Statistics, , https://doi.org/10.1080/07350015.2017.1391099.

17. 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.

18. Post, T., Karabatı, S., & Arvanitis, S. (2018), Portfolio optimization based on stochastic dominance and empirical likelihood. Journal of Econometrics, Volume 206, Issue 1,  Pages 167-186. https://doi.org/10.1016/j.jeconom.2018.01.011

19. Arvanitis, S. and Magdalinos, T. (2018), Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. Journal of Time Series Analysis, 39: 892-908. doi:10.1111/jtsa.12410

20. Arvanitis, S. (2019). Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model. Statistics & Probability Letters, 145, 166-172.

21. Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou (2018), Spanning Tests for Markowitz Stochastic Dominance, Journal of Econometrics, 217(2), 291-311 (https://doi.org/10.1016/j.jeconom.2019.12.005).

22. Post, T., Karabatı, S., & Arvanitis, S. (2019), Robust Optimization of Forecast Combinations, International Journal of Forecasting, 35(3), 910-926.

23. Arvanitis, S., & Anyfantaki, S. (2019). On the limit theory of the Gaussian SQMLE in the EGARCH (1, 1) model. Journal of Time Series Analysis.

24. 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) 

25. Thierry Post, Valerio Potti, Stelios Arvanitis  and Selcuk Karabati (2021), Nonparametric Tests for Optimal Predictive Ability, International Journal of Forecasting. Volume 37, Issue 2, pp. 881-898, https://doi.org/10.1016/j.ijforecast.2020.10.002.

26. Sofia Anyfantaki, Stelios Arvanitis, and Nikolas Topaloglou (2021), Diversification benefits in the cryptocurrency market under mild explosivity, European Journal of Operations Research, https://doi.org/10.1016/j.ejor.2021.02.058.

27. Stelios Arvanitis (2021), Stochastic dominance efficient sets and stochastic spanning. Decisions Econ Finan, https://doi.org/10.1007/s10203-021-00325-y

28. Stelios Arvanitis, and Alexandros Louka (2022), Inconsistency for the Gaussian QMLE in GARCH-type models with infinite variance. Communications in Statistics-Theory and Methods, pp.1-16.

29. Stelios Arvanitis (2023), Concentration Inequalities for Kernel Density Estimators Under Uniform Mixing, Journal of the Korean Statistical Society. 2023 Feb 24:1-0.

30. Stelios Arvanitis and Thierry Post (2023), Generalized Stochastic Arbitrage Opportunities, Management Science. (https://doi.org/10.1287/mnsc.2023.4892) 

31.   Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou (2023), Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance, Management Science. (https://doi.org/10.1287/mnsc.2023.4953)

32. Stelios Arvanitis and Michalis Detsis (2024), Mild Explocivity, Persistent Homology and Cryptocurrencies' Bubbles: An Empirical Exercise, AIMS Mathematics 9, no. 1 (2024): 896-917. (published online 4/12/23)

33. Stelios Arvanitis and Thierry Post (2024), Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing, Mathematics, 12(4), 608.

34. Stelios Arvanitis, and Alexandros Louka (2024), Limit Theory of Martingale Transforms with heavy-tailed noise, accepted for publication at Theory of Probability and Mathematical Statistics, AMS.

35. Stelios Arvanitis and Nikolas Topaloglou (2024), Block Empirical Likelihood Inference for Stochastic Bounding: Large Deviations Asymptotics Under m- Dependence, accepted for publication at the Journal of the Korean Statistical Society.

36. Arvanitis S., (2025), Asymptotics of a QLR-type test for optimal predictive ability, accepted for publication at the Int. J. of Portfolio Analysis and Management.

37.  Arvanitis, S., “ Distributionally Conservative Stochastic Dominance via Subsampling,” Statistical Analysis and Data Mining: An ASA Data Science Journal  18, no. 4 (2025): e70038, https://doi.org/10.1002/sam.70038.

38.  Arvanitis, S. "Norm constrained empirical portfolio optimization with stochastic dominance: Robust optimization non-asymptotics" Demonstratio Mathematica, vol. 58, no. 1, 2025, pp. 20250141. https://doi.org/10.1515/dema-2025-0141