This short paper demonstrates the effects of using missing data on the power of the well-known Hausman (1978) test for simultaneity in structural econometric models. This test is a reliable test and is widely used for testing simultaneity in linear and nonlinear structural models. Using Monte...

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and...

This paper examines the strategy of investing in selected East European stock markets: The Czech Republic, Hungary, and Poland. These stocks markets are representative of the emerging stock markets of Eastern Europe and examined from the perspective of an investor who invests solely in the...

A variety of standard forecasting accuracy criteria and one suggestion are applied to evaluate the OECD's macroeconomic forecasts for Greece for the aggregate demand and output, the GDP implicit price deflator, the investment, the imports and the exports of goods and services. Every year and...

In this short paper a Gamma distributed lags model is used to study the diachronic responses between the actual data and the forecasts supplied by OECD the last 27 years for the case of the Greek Economy. According to our results we verified the potentials of the OECD to improve its forecasts as...

A crucial aspect of empirical research based on ARIMA(p,q) model is the choice of the appropriate lag order. Several criteria have been used in order to identify the appropriate order of a ARIMA(p,q) process. In this paper we investigate the effects of using a variation of selection criteria...

This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE). We employed a nonlinear version of the Hsiao¢s (1979) linear causality technique in order to test...

In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated...

This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques with well known time domain linearity tests. Our results suggest that the suggested test over performs the power of the other...