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Browsing by Author "Pittis, Nikitas"

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    • Article  

      Cointegration and joint efficiency of international commodity markets 

      Hassapis, Christis; Kalyvitis, Sarantis; Pittis, Nikitas (1999)
      This paper investigates the semi-strong efficiency hypothesis in the international commodity markets of four industrialized countries, using vector autoregression (VAR) and cointegration techniques. Efficiency in these ...

    • 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)

    • Book Chapter  

      The EMS interest rates: German dominance or else? 

      Hassapis, Christis; Pittis, Nikitas; Prodromidis, Kyprianos P. (Northampton, MAEdward Elgar, 1998)

    • 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  

      Long-run PPP under the presence of near-to-unit roots: The case of the British Pound-US dollar rate 

      Pittis, Nikitas; Christou, Christina; Kalyvitis, Sarantis; Hassapis, Christis (2009)
      Empirical tests typically provide evidence that the British pound-US dollar exchange rate and the relative wholesale price index contain exact unit roots and exhibit cointegration. However, the cointegrating vector is ...

    • Article  

      On modelling speculative prices: the empirical literature 

      Andreou, Elena; Pittis, Nikitas; Spanos, Aris (2001)
      Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in ...

    • Article  

      Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited 

      Hassapis, Christis; Pittis, Nikitas; Prodromidis, Kyprianos P. (1999)
      The aim of this paper is twofold: First, it shows that: (a) sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved. ...

    • 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)

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