Browsing Τμήμα Οικονομικών / Department of Economics by Subject "F36"
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Article
Stock and foreign exchange market linkages in emerging economies
(2013)This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive ...
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Article
Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited
(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. ...