Dimitrios D. Thomakos

Dimitrios D. Thomakos
University of Peloponnese | UOP · Department of Economics

B.A., M.A., M.Phil., Ph.D.

About

151
Publications
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1,199
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Additional affiliations
January 2003 - October 2015
University of Peloponnese
Position
  • Professor (Full)

Publications

Publications (151)
Article
We present a novel method for forecasting with limited information, that is for forecasting short time series. Our method is simple and intuitive; it relates to the most fundamental forecasting benchmark and is straightforward to implement. We present the technical details of the method and explain the nuances of how it works via two illustrative e...
Article
Full-text available
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life...
Article
Full-text available
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life...
Article
We propose a new methodology for trading financial instruments based on deterministic sign patterns. These patterns are obtained from the m-dimensional elementary sample space consisting of -1,1m, the two possible signs for trading and with m varying. The collection of all possible sign combinations coming from this sample space creates a zero-cost...
Article
A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures offers supporting evidence for the existence of such mo...
Article
Full-text available
The island complex of Cyclades is the most visited area in Greece and one of the most visited areas worldwide. However, only a limited number of studies have been dealt with the tourism carrying capacity (TCC) in Greece. Therefore, the scope of this paper is to determine sustainable tourism in this area by using a selective number of 24 quantitativ...
Preprint
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My contributions to this voluminous publication can be found on pp 38-40 "The natural law of growth in competition" and on pp 169-170 "Dealing with logistic forecasts in practice"
Article
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New results on volatility modeling and forecasting are presented based on the NoVaS transformation approach. Our main contribution is that we extend the NoVaS methodology to modeling and forecasting conditional correlation, thus allowing NoVaS to work in a multivariate setting as well. We present exact results on the use of univariate transformatio...
Chapter
Theta method is the most successful univariate time series forecasting method of the past two decades, since its origination in 1999. The method's success has been demonstrated in applications in demand forecasting, marketing, and supply chain forecasting contexts; nevertheless, the success in extensive blind empirical forecasting competitions also...
Article
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For a symmetric matrix B, we determine the class of Q such that Q t BQ is non-negative definite and apply it to panel data estimation and forecasting: the Hausman test for testing the endogeneity of the random effects in panel data models. We show that the test can be performed if the estimated error variances in the fixed and random effects models...
Article
Superforecasting has drawn the attention of academics - despite earlier contradictory findings in the literature, arguing that humans can consistently and successfully forecast over long periods. It has also enthused practitioners, due to the major implications for improving forecast-driven decision-making. The evidence in support of the superforec...
Article
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We test and report on time series modelling and forecasting using several US. Leading economic indicators (LEI) as an input to forecasting real US. GDP and the unemployment rate. These time series have been addressed before, but our results are more statistically significant using more recently developed time series modelling techniques and softwar...
Article
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This study investigates the impact of corporate bonds issued by Greek listed firms on employment. Even though external financing and the effects on employment has been studied in the literature, we extend the existing literature by focusing for the first time on the specific role of corporate bonds on employment. We have collected all the relevant...
Article
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Forecasting non-stationary time series, especially when the data generating processes contains a random walk component, is a difficult and sometimes impossible task. In this paper we suggest an intuitive, computationally fast and expedient way of forecasting time series of the above type using distance-based nearest neighbours (NN). We exploit to a...
Chapter
Full-text available
There is ample literature on foreign exchange rate predictability and the results point out towards entirely different directions, some of it claiming that foreign exchanges are unpredictable random walks, some other that they are mean-reverting and coin-tegrating and yet some other still that they can be best modelled and forecasted by non-linear...
Article
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We introduce a new forecasting methodology, referred to as adaptive learning forecasting, that allows for both forecast averaging and forecast error learning. We analyze its theoretical properties and demonstrate that it provides a priori MSE improvements under certain conditions. The learning rate based on past forecast errors is shown to be non-l...
Article
Twenty years on from the publication of the results of the celebrated M3 competition and we were just about used to the idea that there would be no more M-type competitions, when the M4 competition came along in 2019. A 4.0 earthquake is 10 times ‘stronger’ than a 3.0, and that was what M4.0 was aspiring to; so was its mission accomplished?
Article
The literature on mixed-frequency models is relatively recent and has found applications across economics and finance. The standard application in economics considers the use of (usually) monthly variables (e.g. industrial production) for predicting/fitting quarterly variables (e.g. real GDP). This paper proposes a multivariate singular spectrum an...
Chapter
In the analysis of the properties of the θ‐method, this chapter focus on the general “signal+noise” model, whereas the original time series is decomposed into a “trend” or “signal” or a slowly varying component and a “noise” or “error” or “residual” component. It analyzes the properties of the θ‐method when the trend/signal component is approximate...
Chapter
From its inception, in the minds of computer engineers, to its current form, as an all‐purpose, multidisciplinary, forecasting tool, the θ‐method follows the time‐honored path of simplicity. The θ‐forecasts are good for predicting direction, most times being above the benchmarks, sometimes at par, fewer times below them. They are prime competitors...
Chapter
There have been many attempts to develop forecasts based directly on decomposition. The individual components that are usually identified are the trend‐cycle, seasonality, and the irregular components. Assuming seasonally adjusted data, the Theta method proposes a second and different layer of decomposition: a decomposition of the seasonally adjust...
Chapter
This chapter presents an application of the method in the border of two disciplines: healthcare management and marketing. It utilizes the variations of Theta method along with the established benchmarks to forecast pharmaceutical life cycles, specifically around the time of patent expiry when the generic form of the product is introduced to the mar...
Chapter
This chapter goes through several real‐life series and present empirical applications. It examines not only the relative forecasting performance of the proposed methods, against some well‐known benchmarks, but also to understand how the forecasting performance of the θ‐based forecasts changes when the data‐generating process (DGP), the trend functi...
Chapter
This chapter explores the extensions of the univariate θ‐method to the case having more than one time series under study. It explore useful implications when dealing with the multivariate case. For the bivariate unit root data‐generating process (DGP), the univariate results can be easily extended for the two forecasting functions, in levels and in...
Article
This paper is a critical review of the problems of the Greek tax system. A well‐structured tax system promotes allocative efficiency and supports economic growth, whereas on the contrary current Greek reality translates to nontransparency, complexity, and tax corruption: all of them constitute regulatory failure. Using data, which refer to detailed...
Article
This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” wi...
Article
Full-text available
This paper provides ample empirical evidence, using US equity and bond indices, why daily stop-loss rules can be considered as viable performance enhancers. While a longer-term stop-loss rule can help investors to avoid market crashes by being out of the market, investors may obviously lose on the up-market days too. Furthermore, a shorter-term sto...
Article
We consider the problem of model selection based on quantile analysis and with unknown parameters estimated using quantile leasts squares. We propose a model selection test for the null hypothesis that the competing models are equivalent against the alternative hypothesis that one model is closer to the true model. We follow with two applications o...
Article
A new type of momentum based on past return signs is introduced, called Returns Signal Momentum. This is mainly driven by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures offers supporting evidence to this momentum...
Chapter
We empirically examine the potential relationship between the size of the government in Greece—as approached by indirect taxes and subsidies—and economic growth. Our results suggest that a negative relationship does exist between taxes and growth, confirming a large part of the existing literature. We estimate a variety of models that illustrate ho...
Chapter
In this chapter, we provide an overview on the interlinked problems of high tax rates, tax evasion, tax havens, global tax competition, the enforcement costs of a tax system, and their relationship with economic growth. Reviewing the related literature, it becomes clear that the current state of high tax evasion and high tax rates are detrimental t...
Chapter
The study utilizes a new set of macroeconomic and regulatory data to analyze the evolution of loan loss provisioning practices in the Greek banking system over the period 2005–2015. It explores the determinants of the aggregate loan loss reserves to total loans ratio, which reflects the accumulation of provisions net of write-offs and constitutes a...
Article
Full-text available
The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then us...
Book
This book offers a comprehensive guide to modern day taxation issues. It presents a thorough overview of many of the crucial aspects of applied taxation and current tax systems, and presents evidence that supports taxation as an important policy issue requiring immediate address globally. Contributions seek to address the core question of how to de...
Article
We show that firms with higher NOA (net operating assets) subsequently experience lower stock returns in at least nine out of sixteen European countries, consistent with the U.S. evidence. This negative relation between NOA and future returns is strongly linked with cross-country variation in factors capturing managerial discretion. However, once w...
Article
A critical aspect of singular spectrum analysis (SSA) is the reconstruction of the original time series under various assumptions about its underlying structure. This reconstruction depends on the choice of the components from the covariance decomposition of the trajectory matrix. In most applications, this selection is based on the prior knowledge...
Article
We review the Supply Chain (SC) planning in Defence operations. Our main focus is an exploration of the literature to identify the significant factors concerning SC planning and the way they affect the implementation of Decision Making Processes (DMP) in (primarily) military operations. We take as our starting point the logistics of Alexander the G...
Article
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The authors examine the negative relation of traditional accruals and % accruals with future returns in the Greek stock market. Positive abnormal returns from hedge portfolios on both accrual measures summarize the economic significance of this negative relation. The magnitude of returns obtained from traditional accruals is higher than that obtain...
Article
We analyze the relationship between carbon intensity and EPI and find that the informational content of EPI is in large part explainable by the state of economic growth and level of carbon intensity, with the second variable being already an increasing function of emissions and a decreasing function of economic well being. Carbon intensity has the...
Article
In this paper we propose a new method for constructing single-asset investment strategies that can be used for hedging and risk management, with emphasis on the highly volatile energy asset class. The method consists of exploiting three stylized facts of asset returns, momentum, mean reversion and bubbles, by taking non-overlapping segments of the...
Article
Full-text available
Post-war political consensus about the need for government action to rectify market failure began to unravel in the 1970s, and even the need for prudential control of banking and finance began to be challenged by the start of the 1980s. Regulatory oversight was relaxed in the belief that emerging techniques in financial engineering would render irr...
Article
This paper considers the problem of smoothing a non-stationary time series (having either deterministic and/or stochastic trends) using the discrete cosine transform (DCT). The DCT is a powerful tool which has found fruitful applications in filtering and smoothing as it can closely approximate the optimal Karhunen-Loeve transform (KLT). In fact, it...
Article
In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root data-generating process we: (a) derive new theoretical formulations for the application of the method on multivariate time series; (b) investigate the conditions for which the multivariate Theta method is expected to forecast bett...
Article
We present empirical results on the statistical and economic viability of a market timing and trading strategy that is based on a pairwise rotation between two risky assets. Using data on equity exchange traded funds, and models for both the returns and the volatility of the underlying assets, we compare the performance of the suggested models with...
Chapter
The empirical study presented in this chapter employs cointegration techniques and a vector correction model (VECM) to identify and analyze the main drivers of Greece’s current account in recent years and, especially, in the period following the outbreak of the global financial crisis. Our results provide broad-based support to the key findings of...
Chapter
The events in Greece, in the months since the January election, have made the publication of this volume timely and relevant. Not only have they shown that the crisis is not completely over, certainly not for Greece or for Europe in general, but they painfully stress many of the points and arguments that you have read in the chapters of this volume...
Chapter
The present empirical study estimates regime-dependent fiscal multipliers for a range of key government revenue and expenditure categories in Greece. In more detail, the study employs a Multivariate Threshold Autoregressive Model (TVAR) that has a number of unique features that make it particularly suitable for our empirical analysis. The primary a...
Article
The implementation of measures to promote renewable energy sources (RES) has shown to have a significant impact in reducing CO2 emissions and, at the same time, promotes technology substitution and changes in the energy production and consumption mix. In this paper, we look at RES regulation measures together with variables capturing economic freed...
Article
Environmental considerations are on the table for over two centuries now, since then the global community has made significant steps to mitigate the problem. Over the recent past, comprehensive environmental indexes such as the EPI index have been created so as to assess a nation's environmental performance. This paper examines the relationship of...
Article
Full-text available
Small sections of the text, not exceeding three paragraphs, can be used provided proper acknowledgement is given. The Rimini Centre for Economic Analysis (RCEA) was established in March 2007. RCEA is a private, nonprofit organization dedicated to independent research in Applied and Theoretical Economics and related fields. RCEA organizes seminars a...
Article
This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by chang...
Article
Full-text available
In this paper, building on earlier work by Assimakopoulos and Nikolopoulos ([2000. The theta model: a decomposition approach to forecasting. Int. J. Forecast., 16, 521–530], hereafter A&N) and Hyndman and Billah ([2003. Unmasking the theta method. Int. J. Forecast., 19, 287–290], hereafter H&B) on the properties and performance of the theta method,...
Article
We explore whether sovereign spreads/yields, when considered along with real GDP, unemployment and inflation have had any significant effect on the equality of income distribution for a series of country-members of the European Union (plus Norway). Additional focus is given on countries of the European periphery that have undergone a “Troika-like”...
Article
Purpose ‐ The purpose of the paper is to investigate the relation between the value/growth anomaly and the external financing anomaly by considering an expanded value/growth indicator: free cash flow yield (free cash flows scaled by price). Design/methodology/approach ‐ The paper utilizes portfolio-level tests and cross-sectional regressions. Findi...
Article
Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of heterogeneous autoregressive (HAR) models for assessi...
Article
In this paper, the recently introduced improved moving average methodology in [1] is employed and it is applied in two energy ETFs. It is compared to the standard moving average methodology and the buy and hold strategy. Investors who are interested in energy-related sectors and trade using averages, could benefit by forming their strategies based...
Article
We propose a new method for estimating the covariance matrix of a multivariate time series of financial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the final covariance estimate. We extend the idea of (model) covariance averaging offered in th...
Article
The cyclical properties of the annual growth of the Baltic Dry Index (BDI) and their implications for short-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic managem...
Article
Full-text available
The ultimate goal of any "paper" investment strategy is to achieve real-life profitability. This paper measures the performance of a trading rule based on the relative pricing and relative volatility of a rotation strategy between two assets, using data from passive ETFs. To avoid problems of pair selection we work with meta-data obtained after the...
Article
The ultimate goal of any “paper” investment strategy is to achieve real-life profitability. This paper measures the performance of a simple technical trading rule based on the relative pricing and relative volatility of a rotation strategy between two assets, using data from passive ETFs. To avoid problems of pair selection we work with meta-data o...
Conference Paper
Global warning has emerged as the most prominent problem of our times. As such reducing GHG emissions have become the centre of environmental policies across the globe. The EU wants to play a leading role to the direction of alleviating climate change and for that purpose has set targets to reduce GHG by 20% and raise the share of renewable energy...
Article
We present empirical evidence about the properties of cycle synchronization for Germany, France and the UK and compare them with Italy and Greece. Instead of using output data we focus on the economic sentiment indicator (ESI), a forward-looking, survey-based variable available from 1985. The cyclical nature of the ESI allows us to analyze the pres...
Article
This article presents an industry equilibrium framework for testing the real option hypothesis with aggregate data: uncertainty and irreversibility (Dixit and Pindyck, Investment under uncertainty, Princeton University Press, Princeton, 1994) raise the critical threshold at which it is optimal to invest, due to the option value of waiting. We propo...
Article
A lot of emphasis is placed by the EU on developing strategies to combat climate change. Recognizing that climate change and energy policies need to be integrated, the EU has developed the climate change and energy package to achieve emission and renewable energy deployment targets. To increase the share of renewables in the energy mix the European...
Article
Pairs trading is a popular, market-neutral trading strategy among finance practitioners that has been recently evaluated in a number of papers. Since it is a successful trading strategy, allowing for multiple implementations of solid underlying ideas, it is interesting to further explore the underlying factors for its success. In this paper we do s...
Article
In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic trailing stop as in the context of "long-only" trades. T...
Article
This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The trading behavior and performance from this modified stra...
Article
This paper investigates the relation of the external financing anomaly with the accrual anomaly, by focusing separately on working capital accruals and long-term accruals. We find that external financing and accrual hedge portfolios not only generate superior returns, but they also constitute statistical arbitrage opportunities. Portfolio-level ana...
Chapter
Full-text available
We build on extant theory of the Multinational Enterprise (MNE), MNE subsidiaries and absorptive capacity (AC) to develop a framework that allows us to explore the role of MNE subsidiaries in the global sourcing of knowledge and MNE performance. We develop and test hypotheses using primary questionnaire-collected data. Our results support the idea...
Article
Purpose – The purpose of this paper is to examine the informational content of retained and distributed earnings for future profitability and stock returns. Design/methodology/approach – The paper utilizes firm-level cross-sectional persistent regressions, Mishkin's econometric framework and portfolio-level analysis. Findings – The paper shows that...
Article
In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to both growth and earnings management. Further, our evidenc...
Article
In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to both growth and earnings management. Further, our evidenc...
Article
This paper examines the probability of returns exceeding a threshold, extending earlier work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We find that the choice of the threshold matters and that a zero threshold (leading to sign predictions) does not lead to the largest probability response to changes in vol...
Article
In this paper we present empirical results on the statistical and economic viability of a market timing trading strategy that is based on rotation between two risky assets. We use data on Exchange Traded Funds (ETFs) and models for both the returns and the volatility of the underlying assets. We compare the performance of the suggested models with...
Article
In this paper we investigate the relation of the value/growth anomaly with the anomaly on corporate financing activities. We find that value/growth and external financing indicators could be related in capturing stock returns attributable to sales growth. However, external financing indicators could be incrementally informative since they also pick...
Article
We present results from an extensive study on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging can be considered beneficial on a priori grounds, that i...
Article
Volatility modeling is important for asset pricing, portfolio choice, option pricing, and risk management. Many studies have built increasingly sophisticated statistical models to capture the characteristics of financial markets’ volatility. A lot of earlier work focused on the parametricARCH and GARCH family of models, on stochastic volatility mod...
Article
Full-text available
In recent years Singular Spectrum Analysis (SSA), a relatively novel but powerful technique in time series analysis, has been developed and applied to many practical problems across different fields. In this paper we review recent developments in the theoretical and methodological aspects of SSA from the perspective of analyzing and forecasting eco...