Browsing by Author "Caporale, Guglielmo Maria"
Now showing items 1-5 of 5
-
Article
Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1998)This paper analyzes exchange rate returns for five currencies (Danish krone, Dutch guilder, French franc, Swiss franc, and U.S. dollar). As in Caporale and Pittis (1994), and unlike most of the empirical literature on ...
-
Book
Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1994)
-
Article
Excess returns in the EMS: Do "weak" currencies still exist after the widening of the fluctuation bands?
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1995)Excess Returns in the EMS: Do "Weak" Currencies Still Exist after the Widening of the Fluctuation Bands? - The authors analyze the issue of how the different institutional arrangements within the ERM have affected the ...
-
Article
Unit roots and long-run causality: Investigating the relationship between output, money and interest rates
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1998)In this article we show that sufficient conditions for the unit roots found in the AR representations of time series to persist in bivariate or trivariate VARs amount to long-run non-causality restrictions among the variables ...
-
Book
Unit roots and long-run causality: the case of output and financial variables
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1995)