Tamás Kiss
Befattning: Universitetslektor Organisation: Handelshögskolan vid Örebro universitetE-post: tamas.kiss@oru.se
Telefon: 019 302306
Rum: N4018
Om Tamás Kiss
Tamás Kiss är nationalekonom med inriktning till tidsserieekonometri och finansiell ekonomi. Han disputerade vid Göteborgs Universitet år 2019. Han är postdoktor på Handelshögskolan i Örebro sedan dess.
Hans forskning handlar om tillämpningar av tidsseriemetoder i olika kontext inom finans och makroekonomi, med ett fokus på att göra prognoser. Bland annat har han fokuserat på förutsägbarhet på aktiemarknaden, och empiriska egenskaper av finansiella och makroekonomiska prognoser.
Forskningsområden
- Tidsserieekonometri
- Finansiell Ekonomi
- Empirisk Makroekonomi
Utvalda artiklar i tidskrifter
Hjalmarsson, E., Kiss, T. (2022), “Long-Run Predictability Tests are Even Worse than You Thought.”, under publicering i Journal of Applied Econometrics
Kiss, T., Mazur, S., Nguyen, H., Österholm, P. (2022), ”Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Innovations” under publicering i Journal of Forecasting
Kiss, T., Nguyen, H., Österholm, P. (2022), “Modelling Okun’s Law – Does non-Gaussianity Matter?” under publicering i Empirical Economics
Javed, F., Kiss, T., Österholm, P. (2022), “Performance Analysis of Nowcasting of GDP Growth when Allowing for Conditional Heteroscedasticity and Non-Gaussianity.”, Applied Economics 54(58), 6669-6686.
Kiss, T., Mazur, S., Nguyen, H. (2022), “Predicting Returns and Dividend Growth - The Role of non-Gaussian Innovations.”, Finance Research Letters 46, 102315
Kiss, T., Nguyen, H., Österholm, P. (2022), “The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area.” Finance Research Letters 46, 102365
Hjalmarsson, E., Kiss, T. (2021), “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dog.”, Critical Finance Review 10(3), 445-464
Kiss, T., Österholm, P. (2020), “Corona, Crisis and Conditional Heteroscedasticity.”, Applied Economics Letters 28(9), 755-759.
Kiss, T., Österholm, P. (2020), “Fat Tails in Leading Indicators.”, Economics Letters 193, 109317
Populärvetenskapligt arbete
Kiss, T., Kladivko, K., Lunander, A., Österholm, P. (2022) ”Varför har arbetstagar- och arbetsgivarorganisationer olika förväntningar om lönetillväxt?” Ekonomisk Debatt, 50, s 31-41
Forskargrupper
Publikationer
Artiklar i tidskrifter
- Kiss, T. , Kladivko, K. , Silfverberg, O. & Österholm, P. (2023). Market participants or the random walk-who forecasts better? Evidence from micro-level survey data. Finance Research Letters, 54.
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2023). Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations. Journal of Forecasting, 42 (2), 347-368.
- Kiss, T. , Nguyen, H. & Österholm, P. (2023). Modelling Okun's law: Does non-Gaussianity matter?. Empirical Economics, 64 (5), 2183-2213.
- Karlsson, S. , Kiss, T. , Nguyen, H. & Österholm, P. (2023). Svensk ekonomi är inte normal (och oberoende) – fakta om makroekonomiska variablers tidsserieegenskaper. Ekonomisk Debatt, 51 (1), 42-54.
- Hjalmarsson, E. & Kiss, T. (2022). Long-run predictability tests are even worse than you thought. Journal of applied econometrics (Chichester, England), 37 (7), 1334-1355.
- Javed, F. , Kiss, T. & Österholm, P. (2022). Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity. Applied Economics, 54 (58), 6669-6686.
- Kiss, T. , Mazur, S. & Nguyen, H. (2022). Predicting returns and dividend growth - The role of non-Gaussian innovations. Finance Research Letters, 46 (Part A).
- Kiss, T. , Nguyen, H. & Österholm, P. (2022). The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area. Finance Research Letters, 46 (Part A).
- Kiss, T. & Österholm, P. (2021). Corona, Crisis and Conditional Heteroscedasticity. Applied Economics Letters, 28 (9), 755-759.
- Hjalmarsson, E. & Kiss, T. (2021). Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog. Critical Finance Review, 10 (3), 445-464.
- Kiss, T. , Nguyen, H. & Österholm, P. (2021). Modelling Returns in US Housing Prices-You're the One for Me, Fat Tails. Journal of Risk and Financial Management, 14 (11).
- Kiss, T. & Österholm, P. (2020). Fat tails in leading indicators. Economics Letters, 193.
Doktorsavhandlingar
- Kiss, T. (2019). Predictability in Equity Markets: Estimation and Inference. (Doctoral dissertation). University of Gothenburg.
Konferensbidrag
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Konferensbidrag vid 11th European Seminar on Bayesian Econometrics, Madrid, Spain, September 2-3, 2021.
Manuskript
- Kiss, T. Predictive Regressions in Predictive Systems.
- Hjalmarsson, E. & Kiss, T. Testing Return Predictability with the Dividend-Growth Equation : An Anatomy of the Dog.
- Kiss, T. Vanishing Predictability and Non-Stationary Regressors.
Rapporter
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Örebro: Örebro University, School of Business (Working Papers, School of Business 9/2021).