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Mantalos, Panagiotis
Publications (10 of 29) Show all publications
Mantalos, P., Karagrigoriou, A., Strelec, L., Jordanova, P., Hermann, P., Kiselak, J., . . . Stehlik, M. (2019). On improved volatility modelling by fitting skewness in ARCH models. Journal of Applied Statistics
Open this publication in new window or tab >>On improved volatility modelling by fitting skewness in ARCH models
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2019 (English)In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532Article in journal (Refereed) Epub ahead of print
Abstract [en]

We study ARCH/GARCH effects under possible deviation from normality. Since skewness is the principal cause for deviations from normality in many practical applications, e.g. finance, we study in particular skewness. We propose robust tests for normality both for NoVaS and modified NoVaS transformed and original data. Such an approach is not applicable for EGARCH, but applicable for GARCH-GJR models. A novel test procedure is proposed for the skewness in autoregressive conditional volatility models. The power of the tests is investigated with various underlying models. Applications with financial data show the applicability and the capabilities of the proposed testing procedure.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2019
Keywords
Robust test for normality, ARCH, GARCH model, NoVaS, skewness, kurtosis
National Category
Probability Theory and Statistics
Research subject
Economy
Identifiers
urn:nbn:se:lnu:diva-89708 (URN)10.1080/02664763.2019.1671323 (DOI)000488186400001 ()
Available from: 2019-10-18 Created: 2019-10-18 Last updated: 2020-03-12
Mantalos, P. & Hultkrantz, L. (2018). Estimating 'gamma' for tail-hedge discount rates when project returns are cointegrated with GDP. Applied Economics, 50(37), 4074-4085
Open this publication in new window or tab >>Estimating 'gamma' for tail-hedge discount rates when project returns are cointegrated with GDP
2018 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 50, no 37, p. 4074-4085Article in journal (Refereed) Published
Abstract [en]

Martin Weitzman has suggested a method for calculating social discount rates for long-term investments when project returns are covariant with consumption or other macroeconomic variables, so-called tail-hedge discounting'. This method relies on a parameter called real project gamma' that measures the proportion of project returns that is covariant with the macroeconomic variable. We compare two approaches for estimation of this gamma when the project returns and the macroeconomic variable are cointegrated. First, we use Weitzman's own approach, and second a simple data transformation that keeps gamma within the zero to one interval. In a Monte-Carlo study, we show that the method of using a standardized series is better and robust under different data-generating processes. Both approaches are examined in a Monte-Carlo experiment and applied to Swedish time-series data from 1950-2011 for annual time-series data for rail freight (a measure of returns from rail investments) and GDP.

Place, publisher, year, edition, pages
Routledge, 2018
Keywords
Social discount rate, cost-benefit analysis, consumption CAPM, real project gamma
National Category
Economics and Business
Research subject
Economy
Identifiers
urn:nbn:se:lnu:diva-76905 (URN)10.1080/00036846.2018.1441511 (DOI)000435001900007 ()2-s2.0-85042440814 (Scopus ID)
Available from: 2018-07-13 Created: 2018-07-13 Last updated: 2019-08-29Bibliographically approved
Hultkrantz, L. & Mantalos, P. (2018). Hedging with trees: Tail-hedge discounting of long-term forestry returns. Journal of Forest Economics, 30, 52-57
Open this publication in new window or tab >>Hedging with trees: Tail-hedge discounting of long-term forestry returns
2018 (English)In: Journal of Forest Economics, ISSN 1104-6899, E-ISSN 1618-1530, Vol. 30, p. 52-57Article in journal (Refereed) Published
Abstract [en]

Tail-hedge discounting is based on decomposition of returns from long-term investments in a fraction (gamma) that is correlated with consumption and another that is not. The first part is discounted at a discount rate that includes a risk premium, the other with the risk-free rate. We estimate gamma for forestry on Swedish data for stumpage prices and GDP per capita 1909-2012. We demonstrate that the result considerably changes the expected present value of medium-term and long-term forest investments. (C) 2018 Department of Forest Economics, Swedish University of Agricultural Sciences, Umea. Published by Elsevier GmbH. All rights reserved.

Place, publisher, year, edition, pages
Elsevier, 2018
Keywords
Discounting, Far-distant future, Declining discount rates, Forestry, Forest economics, Cost-benefit analysis
National Category
Forest Science
Research subject
Technology (byts ev till Engineering), Forestry and Wood Technology
Identifiers
urn:nbn:se:lnu:diva-72695 (URN)10.1016/j.jfe.2018.02.001 (DOI)000428028000006 ()2-s2.0-85042597191 (Scopus ID)
Available from: 2018-04-13 Created: 2018-04-13 Last updated: 2019-08-29Bibliographically approved
Mantalos, P. (2017). Robust critical values for unit root tests for series with conditional heteroscedasticity errors: an application of the simple NoVaS transformation. Cogent Economics & Finance, 5(1), Article ID 1274282.
Open this publication in new window or tab >>Robust critical values for unit root tests for series with conditional heteroscedasticity errors: an application of the simple NoVaS transformation
2017 (English)In: Cogent Economics & Finance, E-ISSN 2332-2039, Vol. 5, no 1, p. 23article id 1274282Article in journal (Refereed) Published
Abstract [en]

In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS-modified critical values either have the same power as, or slightly better than, tests using conventional Dickey–Fuller critical values across the sample range considered.

Place, publisher, year, edition, pages
Taylor & Francis, 2017. p. 23
Keywords
critical values, normalizing and variance-stabilizing transformation, unit root tests
National Category
Economics
Research subject
Economy
Identifiers
urn:nbn:se:lnu:diva-50643 (URN)10.1080/23322039.2016.1274282 (DOI)000392396500001 ()2-s2.0-85034603437 (Scopus ID)
Available from: 2016-03-11 Created: 2016-03-11 Last updated: 2019-08-29Bibliographically approved
Mantalos, P. (2015). Greek Debt Crisis: “An Introduction to the Economic Effects of Austerity”. Örebro University
Open this publication in new window or tab >>Greek Debt Crisis: “An Introduction to the Economic Effects of Austerity”
2015 (English)Report (Other academic)
Abstract [en]

We trace the reasons for the negative development of Greek government debt from 1980 to 2014 by studying the deficits of the Greek state under the same period. We also see the Greek debt under the different political regimes. We briefly describe the two bailout programs for Greece and finally we name the amount and Euro states that own the Greek loans. The negative effects of austerity are about 22% less GDP and total household and government consumption and monthly wages; finally, the unemployment rate grew 21%.

Place, publisher, year, edition, pages
Örebro University, 2015. p. 20
Series
Örebro University, School of Business, Working Paper, ISSN 1403-0586 ; 04/2015
Keywords
Austerity, Consumption, Deficit, Greek Debt Crisis, GDP, Unemployment
National Category
Economics Probability Theory and Statistics
Research subject
Economy, Economics; Statistics/Econometrics
Identifiers
urn:nbn:se:lnu:diva-50504 (URN)
Note

Working paper

Available from: 2016-03-09 Created: 2016-03-09 Last updated: 2016-03-22Bibliographically approved
Mantalos, P. (2015). Greek debt Crisis: The "@-euro" a New Possible Solution to the Greek Debt Crisis. International Journal of Financial Crisis and Black Money, 1(1), 1-6
Open this publication in new window or tab >>Greek debt Crisis: The "@-euro" a New Possible Solution to the Greek Debt Crisis
2015 (English)In: International Journal of Financial Crisis and Black Money, Vol. 1, no 1, p. 1-6Article in journal (Refereed) Published
Abstract [en]

We introducing the new idea, of "@-euro" is a self-part-financiering monetary policy. This new idea, introduced more money (liquidity) to Greek state, and a system to collect taxes from the black economy. This idea, which is a possible solution to the Greek Crisis applied in a 7-years alternative Budget. The "@-euro" has two characteristics, first self-financiering and self-discipline. The produced new MTFS with exceptional positive results, with 43, 00 billion surplus after that we have pay 113, 00 billion Euro back to the creditors in a 7 year period. Moreover, no negative effects of austerity. There is fiscal stimulus without inflation!

Place, publisher, year, edition, pages
Delhi, India: Cloud Publications, 2015
Keywords
Austerity, Government Budget, “@-euro”
National Category
Economics
Research subject
Economics; Statistics
Identifiers
urn:nbn:se:lnu:diva-50570 (URN)
Available from: 2016-03-11 Created: 2016-03-11 Last updated: 2016-04-08Bibliographically approved
Berglund, J. (2015). Örebroforskare: Inför parallell valuta. Nerikes Allehanda, Article ID 1.3067276.
Open this publication in new window or tab >>Örebroforskare: Inför parallell valuta
2015 (Swedish)In: Nerikes Allehanda, ISSN 1103-971X, article id 1.3067276Article in journal, News item (Other (popular science, discussion, etc.)) Published
Abstract [sv]

Att införa en parallell valuta skulle kunna lösa Greklandskrisen. Det menar örebroforskaren Panagiotis Mantalos som blev inbjuden till det grekiska parlamentet för att presentera sitt förslag.

Place, publisher, year, edition, pages
Örebro: , 2015
Keywords
Greklandskrisen, Parallell valuta
National Category
Economics
Research subject
Economy, Economics
Identifiers
urn:nbn:se:lnu:diva-51110 (URN)
Available from: 2016-03-21 Created: 2016-03-21 Last updated: 2016-04-04Bibliographically approved
Hultkrantz, L., Krüger, N. & Mantalos, P. (2014). Risk-adjusted long-term social rates of discount for transportation infrastructure investment. Research in Transportation Economics, 47, 70-81
Open this publication in new window or tab >>Risk-adjusted long-term social rates of discount for transportation infrastructure investment
2014 (English)In: Research in Transportation Economics, ISSN 0739-8859, E-ISSN 1875-7979, Vol. 47, p. 70-81Article in journal (Refereed) Published
Abstract [en]

We modify a method recently suggested by Weitzman (2012, 2013) for determining a risk-adjusted social discount rate (SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach we estimate SDR for transportation infrastructure investments based on an analysis of correlations between transportation, split between road and rail, and between passenger travel and freight transport, and GDP in Sweden 1950–2011. We show that this can be estimated from two time-series following a random walk with drift, even if the variables are not co-integrated. Based on current estimates of the risk-free rate and the equity risk premium, we estimate the relevant SDR to be 5–6 per cent, possibly somewhat lower for investment in railroads for passenger travel, and only slowly declining within the investment horizon. This is higher than the current rates used in, for instance, Sweden, Germany and the UK.

Place, publisher, year, edition, pages
Elsevier, 2014
Keywords
Cost-benefit analysis, Rate of interest, Term structure, Risk, Ramsey equation
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:lnu:diva-50567 (URN)10.1016/j.retrec.2014.09.020 (DOI)000349567700008 ()2-s2.0-84913554418 (Scopus ID)
Available from: 2014-11-15 Created: 2016-03-11 Last updated: 2020-01-29Bibliographically approved
Hultkrantz, L., Andersson, L. & Mantalos, P. (2014). Stumpage prices in Sweden 1909-2012: Testing for non-stationarity. Journal of Forest Economics, 20(1), 33-46
Open this publication in new window or tab >>Stumpage prices in Sweden 1909-2012: Testing for non-stationarity
2014 (English)In: Journal of Forest Economics, ISSN 1104-6899, E-ISSN 1618-1530, Vol. 20, no 1, p. 33-46Article in journal (Refereed) Published
Abstract [en]

The price of timber stumpage is one of the few natural-resource rents that can be directly observed as a market price. Rules for optimal timber harvesting under uncertainty have been found to depend on whether the timber rent price is non-stationary or stationary. In this study we extend previous research by Hultkrantz (1995) that tested for unit-root with an exogenous break point in Swedish stumpage prices from 1909 to 1990, employing data up to 2012, hence for 104 years, and unit-root tests with endogenously selected break points. We find support for a structural level break at the end of WW2 and that non-stationarity can be rejected. We show that this is a robust conclusion. There is thus no sign of a new break in the extended recent time period and no signal of a secular increase of timber resource scarcity.

Place, publisher, year, edition, pages
Elsevier, 2014
Keywords
Roundwood, Timber, Natural-resource rents, Unit root
National Category
Economics and Business
Research subject
Business Studies
Identifiers
urn:nbn:se:lnu:diva-50565 (URN)10.1016/j.jfe.2013.07.003 (DOI)000332191000003 ()
Available from: 2014-04-09 Created: 2016-03-11 Last updated: 2020-01-29Bibliographically approved
Javed, F. & Mantalos, P. (2013). GARCH-Type Models and Performance of Information Criteria. Communications in statistics. Simulation and computation, 42(8), 1917-1933
Open this publication in new window or tab >>GARCH-Type Models and Performance of Information Criteria
2013 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 42, no 8, p. 1917-1933Article in journal (Refereed) Published
Abstract [en]

This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.

Keywords
GARCH, Leverage, Spillover, Volatility, Primary 62J02, Secondary 65C05, 65C60
National Category
Economics and Business
Research subject
Economics
Identifiers
urn:nbn:se:lnu:diva-50568 (URN)10.1080/03610918.2012.683924 (DOI)000314352500015 ()
Available from: 2014-03-14 Created: 2016-03-11 Last updated: 2017-11-30Bibliographically approved
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