Personal profile
Research interests
Iliyan Georgiev is Associate Professor of Econometrics at Nova School of Business and Economics. He received his PhD from the European University Institute in Florence. His academic research has theoretical focus and is concentrated on inference for time series exhibiting non-stationarity; it has lead to publications in journals like Econometric Theory, the Journal of Econometrics, the Econometrics Journal. Currently Georgiev is involved in a project on inference for infinite-variance data, exploiting both the asymptotic approach and the bootstrap.
Prior to his PhD, he worked on applied and policy issues at the governmental Agency for Economic Analysis and Forecasting in Bulgaria.
Georgiev teaches Mathematics and Econometrics in the Research Masters program of Nova.
Current research interests include: Non-stationary time series, infinite-variance time series, bootstrap inference.
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Collaborations and top research areas from the last five years
Research output
- 12 Article
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Extensions to IVX methods of inference for return predictability
Demetrescu, M., Georgiev, I., Rodrigues, P. M. M. & Taylor, A. M. R., Dec 2023, In: Journal of Econometrics. 237, 2, 105271.Research output: Contribution to journal › Article › peer-review
Open AccessFile6 Link opens in a new tab Citations (Scopus)6 Downloads (Pure) -
Testing for episodic predictability in stock returns
Demetrescu, M., Georgiev, I., Rodrigues, P. M. M. & Taylor, A. M. R., Mar 2022, In: Journal of Econometrics. 227, 1, p. 85-113Research output: Contribution to journal › Article › peer-review
Open AccessFile22 Link opens in a new tab Citations (Scopus)1 Downloads (Pure) -
Unit root tests and heavy-tailed innovations
Georgiev, I., Rodrigues, P. M. M. & Robert Taylor, A. M., Sept 2017, In: Journal Of Time Series Analysis. 38, 5, p. 733-768Research output: Contribution to journal › Article › peer-review
3 Link opens in a new tab Citations (Scopus) -
Sieve-based inference for infinite-variance linear processes
Cavaliere, G., Georgiev, I. & Robert Taylor, A. M., 2016, In: Annals of Statistics. 44, 4, p. 1467-1494 28 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile10 Link opens in a new tab Citations (Scopus) -
Exploiting infinite variance through dummy variables in nonstationary autoregressions
Cavaliere, G. & Georgiev, I., 1 Dec 2013, In: Econometric Theory. 29, 6, p. 1162-1195 34 p.Research output: Contribution to journal › Article › peer-review
6 Link opens in a new tab Citations (Scopus)