Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Stock returns"

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    • Article  

      The Bierens test for certain nonstationary models 

      Kasparis, Ioannis (2010)
      We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition ...
    • Article  

      Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model 

      Christou, Christina; Cunado, Juncal; Gupta, Rangan; Hassapis, Christis (2017)
      This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search ...
    • Article  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)
      A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...