American Journal of Economics

American Journal of Economics is a peer-reviewed journal that employs economics to analyze issues in business, consumer behavior, and public policy. The Journal is focused on publishing both theoretical and empirical papers in finance and several closely related fields in economics.

Antonis Demos

Editorial Board Member of American Journal of Economics

Associate Professor, Athens University of Economics and Business, Greece

Research Areas

Financial Econometrics, Statistics

Education

1992Ph.DEconometrics and Finance, Birkbeck College, University of London
1989M.ScEconometrics and Mathematical Economics, London School of Economics, University of London
1986B.ScMathematics, Athens University

Experience

presentAssociate Professor in International Finance and Banking, Athens University of Economics and Business, Dept. of International and European Economic Studies (tenured position)
1996-2003Assistant Professor in International Finance and Banking, Athens University of Economics and Business
1992-1994Lecturer in Econometrics and Finance, Reading University
1988-1992Teaching Assistant, London School of Economics, London University
1989-1992Teaching Assistant, Birkbeck College, London University
1991-1993Research Consultant, Banque Paribas, Capital Markets Group, London
1988-1992Research Assistant, London School of Economics, Financial Markets Group

Publications: Conferences/Workshops/Symposiums/Journals/Books

[1]  "Estimation and Properties of a Time-varying GQARCH(1, 1)-M Model" (with S. Anyfantaki) (2011), Journal of Probability and Statistics), Journal of Probability and Statistics, vol. 2011, Article ID 718647, 39 pages, 2011. doi:10.1155/2011/718647.
[2]  "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models" (with D. Kyriakopoulou) (2011), Communications in Statistics-Theory and Methods, forthcoming.
[3]  "UK Stock Market Efficiency and the Risk Premium" (with G. Vasilellis) (2007), Multinational Finance Journal 11, 97-122.
[4]  "An event study analysis of outward foreign direct investment: the case of Greece" (with F. Filippaios, and M. Papanastassiou International Journal of the Economics of Business Vol. 11/3, 2004, 329-348.
[5]  "Time Dependence and Moments of a Family of Time-Varying Parameter GARCH in Mean Models" (with S. Arvanitis), The Journal of Time Series Analysis 25, 2004, 1-25.
[6]  "Moments and Dynamic Structure of a Time-Varying-Parameter Stochastic Volatility in Mean Model", The Econometrics Journal 5.2, 2002, 345-357.
[7]  "Central Limit Theorem for Squared MA Infinity Process" Problem 99.6.1 in Econometric Theory, 1999, p.901.
[8]  "Testing Asset Pricing Models: the Case of Athens Stock Exchenge" (with S. Parissi) Multinational Finance Journal, 2, 1998, 189-223. Best Paper Award, 1998 issue.
[9]  "Testing for GARCH Effects: A One-sided Approach" (with E. Sentana) Journal of Econometrics, 86, 1998, 97-127.
[10]  "An EM Algorithm for Conditionally Heteroskedastic Factor Models" (with E. Sentana) Journal of Business and Economic Statistics, 16.3, 1998, 357-361.
[11]  "The Interaction between Frequency of Market Quotations, Spread, and Volatility in the Foreign Exchange Market" (with C. Goodhart), Applied Economics, 28 1996, 337-386.
[12]  "Observations on the Swiss Franc/Dollar Spot Rate, via Quotations on the Reuters Screens" (with C. Goodhart), Financial Markets and Portfolio Management 7, 1993.
[13]  "Observations on the European Currency Unit/Dollar Spot Rate, via Quotations on the Reuters Screens" (with C. Goodhart), ECU Newsletter, June, 1992.
[14]  "Observations on the Dutch Guilder/Dollar Spot Rate, via Quotations on the Reuters Screens" (with C. Goodhart), Bank-en Effectenbedrijf, June, 1992.
[15]  "Reuters Screen Images of the Foreign Exchange Market Continued: The Yen/Dollar and the Pound/Dollar Spot Market" (with C. Goodhart), The Journal of International Securities Markets, Spring, 1991.
[16]  "Reuters Screen Images of the Foreign Exchange Market: The Deutschemark/Dollar Spot Market" (with C. Goodhart), The Journal of International Securities Markets, Winter, 1990.
[17]  "Conditional Heteroskedasticity in Mean Models" (with S. Arvanitis) in Quantitative Methods in Finance in Honor of Prof. A. Kintis, Editor A. Refenes, Typothito, 2004.
[18]  "Risk and Return in January: Some UK Evidence" (with E. Sentana and M. Shah) in Econometric Analysis of Financial Markets, Editors: J. Kaehler and P. Kugler, Physica-Verlag, 1994.
[19]  "No Evidence of Chaos but Some Evidence of Multifractals in the Foreign Exchange and Stock Markets" (with C. Vassilicos and F. Tata) in Application of Fractals and Chaos. The Shape of Things, Editors: A.J. Crilly, R.A. Earnshaw and H. Jones, Springer-Verlag, 1993.