Econometric Models Costas Leon's personal website

Costas Leon, Economics, area: macroeconomics and time series econometrics: BSc, MA, PhD

 

   Contact: costas@econometric-models.org

Mathematics: Queen and Servant of Science

E.T. Bell, American mathematician, 1951

 

I loved the Foundations. Like so many others in my cohort, I internalized its view that if I couldn’t formulate a problem in economic theory mathematically, I didn’t know what I was doing. I came to the position that mathematical analysis is not one of many ways of doing economic theory: It is the only way. Economic theory is mathematical analysis. Everything else is just pictures and talk.

Quote from Robert Lucas’ April 2001 lecture at Trinity University.

 

Nowadays people know the price of everything and the value of nothing.

 Oscar Wilde, The Picture of Dorian Gray, 1891.

 
     
 

Research Interests

  • Time Series Econometrics and Dynamical Systems

  • Spectral Methods and Singular Spectrum Analysis

  • Laplace Transforms and Convolution in Macroeconomics

  • Macroeconometric Model Building

  • Economic Fluctuations (impulse - propagation and endogenous mechanisms)

  • Monetary Policy

  • Complex Systems and Heterogeneous Agents Dynamics

Memberships

  • Fellow of the Euro Area Business Cycle Network

  • Research Fellow of the Centre of Planning and Economic Research, Greece

  • Swiss Society of Economics and Statistics

Selected Courses Taught in New York College, Athens, Greece, and the Democritus University, Greece

  • Statistics

  • Probability and Statistics

  • Econometrics 1 (Introductory), Econometrics 2 (Time Series), Econometrics 3 (Applied Econometrics)

  • Mathematics

  • Quantitative Macroeconomics

  • Monetary Theory and Policy

  • Industrial Economics

  • Greek Economy

 

 Reviewer for the Following Journals

  • International Journal of Financial Economics and Econometrics, University of Portsmouth, UK

  • Energy Economics, Elsevier

  • The Manchester School, Journal of the University of Manchester, UK

  • Economics and Finance Notes

  • International Journal of Scientific and Statistical Computing (IJSSC)

  • Economic Modelling, Elsevier

  • Random Matrices: Theory and Applications, World Scientific

 

Publications in Academic Journals

  1. Interest Rate Transmission in Greece: Did EMU Cause a Structural Break?  Dionysios Chionis and Costas Leon. Journal of Policy Modeling,  Vol. 28, Issue 4, 2006, Elsevier.

  2. Comovements in the European Financial Markets - Do They Change over Time? A VECM Approach. Costas Leon and George Filis. Transactions on Business and Economics, 3(3), Journal of the World Scientific and Engineering Academy and Society, 2006. 

  3. Cyclical Fluctuations and Transmission Mechanisms of the GDP, Investments and the Stock Exchange in Greece: Evidence from Spectral and VAR Analysis. Costas Leon and George Filis. Journal of Money, Investment and Banking. ISSN 1450-288X Issue 6, 2008.

  4. Synchronization of the Polish and the European Business Cycles. Dionysios Chionis and Costas Leon. Journal of Economic Asymmetries, Vol.6,  No. 1, June 2009, ISSN 1703-4949.

  5. Are EU and Bulgarian Business Cycles Synchronized? Christina Beneki, George Filis, Christos Floros and Costas Leon. Forthcoming in Journal of Money, Investment and Banking. ISSN 1450-288X. Issue 14, 2010.

  6. Stochastic Shocks of the European and the Greek Economic Fluctuations. Nikolaos Georgikopoulos and Costas Leon. International Journal of Business Policy and Economics Vol. 3, No 1, 2010: 89-107.

  7. Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Approach. Christina Beneki, Bruno Eeckels and Costas Leon. Journal of Forecasting, 9 March 2011, DOI:10:1002/for.1220.

  8. Tourism Income and Economic Growth in Greece: Empirical Evidence from their Cyclical Components. Bruno Eeckels, George Filis and Costas Leon.  Tourism Economics, Vol. 18, No4, 2012.

 

 

Presentations in International Conferences

  1. An Application of Dynamic Systems in Economics. Costas Leon and Christina Beneki. Presentation in the 19th Conference of Mathematics, organized by the Hellenic Mathematical Society, 8-10 November 2002 at the Democritus University, Greece. The paper is published in the proceedings of the Conference.

  2. Modelling Interest Rate Transmission Dynamics in Greece: Is there any Structural Break After EMU? Presented in the 3rd International Conference of the National Bulgarian Bank in Econometric Modelling and Forecasting, 16 & 17 May 2005, in Varna, Bulgaria.

  3. Interactions Âetween Options and Stocks within a VAR Framework: Evidence from Greece Costas Leon and George Filis. Published in Lecture Series on Computer and Computational Sciences, Vol. 4B. Advances in Computational Methods in Sciences and Engineering, 2005. Selected Articles. Eds: Th. Simos and G. Maroulis, Brill Academic Publishers. This paper had been presented in the 2nd International Symposium of the Advances of Financial Forecasting, in Loutraki, 21-26 October, 2005, Greece.

  4. The Transmission Mechanism of the Cyclical Components of the Greek Output, Investments and Stock Exchange. Costas Leon and George Filis. Presented in the   1st International Conference on Accounting and Finance, 31/8-1/9 2006, University of Macedonia, Thessaloniki, Greece.

  5. Cyclical Movements of Tourist Income and GDP and their Transmission Mechanism. Evidence from Greece Costas Leon, George Filis and Bruno Eeckels. 24th International EUROCHRIE Conference, University of Aegean, Thessaloniki, 26-28 October 2006.

  6. Time-Varying Dynamics in the Greek Stock Market Integration with the EMU Stock Markets. Costas Leon and George Filis. 7th International Conference on Applied Mathematics in Economics and Business (MCBE06), Cavtat, Croatia, 13-15 June 2006.

  7. Econometrics Trends and Tourism Research: Evidence from two Leading Journals. Costas Leon, Bruno Eeckels and George Filis. Abstract accepted for the 25th Eurochrie Conference, Leeds, UK, May 2007.

  8. The Taylor Rule. Can it be Supported by the Data? Costas Leon. 1st International Workshop in Economics and Finance, University of Peloponnesus, Greece, June 2007.

  9. Econometric Analysis of TV Advertising Prices and TV Ratings. Costas Leon, George Filis and Bruno Eeckels. 1st Biannual International Conference “Strategic Developments in Services Marketing, 27 – 29 September, 2007 Chios Island, Greece. Jointly organized by the University of the Aegean and the University of Glasgow.

  10. Aspects of Monetary Transmission Mechanism: Measuring the Interest Rate Mechanism in Greece. Dionysios Chionis and Costas Leon. Submitted in the Royal Economic Society Conference 2008, University of Warwick, Coventry, United Kingdom, 17-19 March 2008.

  11. Synchronization of the Polish and the European Business Cycles. Dionysios Chionis and Costas Leon. 65th International Atlantic Economic Conference, Warsaw, Poland, 9 – 13 April 2008.

  12. Business Cycle Synchronization between Bulgaria and the European Union: Evidence from Cross Spectral and VAR Analysis. Costas Leon, George Filis and Bruno Eeckels 5th International Conference on Applied Financial Economics, The University of the Aegean, Samos Island, Greece, 3-5 July, 2008.

  13. A Dynamic Correlation Approach of the Swiss Tourism Income. Costas Leon and Bruno Eeckels. International Conference Advances in Tourism Economics 2009, APIDT – Portuguese Association for Tourism Research and Development, Lisbon, 23-24 April, 2009.

  14. Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Approach. Christina Beneki, Bruno Eeckels, Costas Leon. Presented in the 1st Workshop in Tourism Economics, Bolzano University, Brunico, Italy, 28-29 September 2009.

  15. Singular Spectrum Analysis as a Filtering Mechanism for the European Industrial Production Index. Christina Beneki, Bruno Eeckels and Costas Leon, Conference at Clute Institute, Dublin, Ireland, 7-10 June 2010, received the Best Session Paper Award.

  16. Singular Spectrum and Cross-Spectral Analysis of the USA GDP and Unemployment Time Series. Christina Beneki and Costas Leon. UK-China Workshop on SSA. 20-22 September 2010. School of Mathematics, Cardiff, UK.

  17. The Decomposition of the USA GDP via a Multi-Stage Singular Spectrum Analysis. Christina Beneki, Hossein Hassani and Costas Leon. 31st Annual International Symposium on Forecasting organized by The International Institute of Forecasters. SSA Workshop, University of Economics, Prague, Czech Republic, 26-29 June 2011.

  18. Synchronization Between Euro Area and Switzerland Based on Singular Spectrum. Nikolaos Georgikopoulos and Costas Leon. 72nd International Atlantic Economic Association Conference,  Washington, D.C. USA, 20-23 October 2011.

  19. Decomposition of the European GDP based on Singular Spectrum Analysis. Costas Leon. Annual Meeting of the Swiss Society of Economics and Statistics. University of Zurich, April 12-13, 2012.

  20. Evaluation of Singular Spectrum Analysis Based Seasonal Adjustment Procedure. Christina Beneki and Costas Leon. The 2012 International Conference on the Singular Spectrum Analysis and its Applications, Beijing, China, 17-20 May 2012.

  21. The Singular Spectrum Analysis as a New Time Series Method in Tourism and Hospitality Research. Costas Leon. 2nd Advances in Hospitality and Tourism Marketing and Management Conference, Corfu, Greece, 31 May - 3 June 2012.

  22. Singular Spectrum Analysis and Maximum Entropy Estimator for the Determination of Economic Fluctuations and Their Synchronization. Costas Leon, keynote speaker. 1st International Symposium On Business, Economics & Financial Applications (ISBEFA 2012), 1-2 June 2012, Kefalonia, Greece.

  23. The Singular Spectrum Analysis as a Decomposition Tool of Tourism Time Series. Costas Leon. Eurochrie 2012, Lausanne, Switzerland, 25 - 27 October 2012.

 

Recent Submissions in Journals

  1. Singular Spectrum Analysis as a Filtering Mechanism for the European Industrial Production Index. Christina Beneki, Bruno Eeckels and Costas Leon.

 

Member of Scientific Committees

   1.    1st International Symposium on Business, Economics and Financial Applications, June 1-2, 2012, Kefalonia, Kefalonia Island, Greece.

 

Chapters in Books

  1. Looking at the Monetary Integration: Modelling Interest Rate Transmission Dynamics in Greece. Is there any Structural Break after EMU ? Dionysios Chionis and Costas Leon. In the book Regionalisation, Growth and Economic Integration, Publisher: Physica-Verlag HD, 2007.

  2. A Dynamic Correlation Approach of the Swiss Tourism Income. Costas Leon and Bruno Eeckels. Forthcoming in Advances in Tourism Economics: New Developments, Matias, Álvaro; Nijkamp, Peter; Sarmento, Manuela (Eds.), 2011.

 

Working and Discussion Papers 

  1. The European and the Greek Business Cycles. Are They Synchronized? Costas Leon. Munich Personal RePEc Archive, University Library of Munich University, Germany, 2006. MPRA Paper No. 1312.

  2. The Taylor Rule. Can it be Supported by the Data?  Costas Leon. Munich Personal RePEc Archive, University Library of Munich University, Germany, 2006. MPRA Paper No. 1650.

  3. Stochastic Shocks of the European and the Greek Economic Fluctuations. Nikolaos Georgikopoulos and Costas Leon. Discussion Paper No 100 of the Centre of Planning and Economic Research, Greece, April 2009.

  4. A Dynamic Correlation Approach of the Swiss Tourism Income. Costas Leon and Bruno Eeckels. Munich Personal RePEc Archive, University Library of Munich University, Germany, 2006. MPRA Paper No. 15215.

  5. Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Approach. Christina Beneki, Bruno Eeckels, Costas Leon. Munich Personal RePEc Archive, University Library of Munich University, Germany, 2006. MPRA Paper No. 18354.

 

Publications in the Greek Newspapers and Magazines

  • Six publications in the Greek Economic Press (TASEIS / EPILOGI, AXIA, OPEN MBA – TA NEA, ECONOMICA CHRONIKA) regarding monetary policy in the Eurozone, monetary asymmetries, business cycle, international business and economic theories.

 

Books 

  • Subsidization of Interest Rate for the Small and Medium Size Enterprises (with Costas Siriopoulos, Thomas Anastassiou, Yiannis Asimakopoulos), Economic Chamber of Greece, Athens, July 2006.

 

Presentations and Lectures

  1. The Monetary Transmission Mechanism. Democritus University, Greece, 21 October 2003.

  2. Optimum Currency Areas: A Critique. Democritus University, Greece, 21 October 2004.

  3. Non Linear Dynamics and Chaos Theory. With Stratos Nikolakakis, University of Amsterdam. New York College, Greece, 22 December 2003.

  4. Stochastic Shocks of the European and the Greek Economic Fluctuations. Nikolaos Georgikopoulos and Costas Leon. Centre of Planning and Economic Research, Greece, 28 March 2008.

 

Notes for Students 

  1. Notes on Mathematical Statistics, for the students of Computer Science Department, New York College, Greece, 2003.

  2. Notes on Econometrics, for the students of Business Administration and Economics, New York College, Greece, 2003.

  3. Optimal Control Theory, for the students of Macroeconomics, Democritus University, Greece, in Greek, 2005.

 

Current Research

I am currently working on the Singular Spectrum Analysis and Filtering Methods in Macroeconomic Time Series.

Unpublished Work

  1. A Forecasting Model for the Athens Stock Exchange: A Multivariate Cointegrated System Combined with EGARCH Models.  With Dionysios Chionis. (in Greek), 2000.

  2. Econometric Analysis of the Accelerator Model of Investment. (Theory and Application in Greece, in Greek), 2002.