Browsing Τμήμα Οικονομικών / Department of Economics by Author "Pittis, Nikitas"
Now showing items 1-10 of 10
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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 ...
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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 ...
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Book
Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1994)
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Book Chapter
The EMS interest rates: German dominance or else?
Hassapis, Christis; Pittis, Nikitas; Prodromidis, Kyprianos P. (Northampton, MAEdward Elgar, 1998)
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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 ...
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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 ...
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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 ...
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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. ...
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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 ...
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Book
Unit roots and long-run causality: the case of output and financial variables
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1995)