We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by...

This paper examines the Purchasing Power Parity theory from a long-run perspective in the presence of a parallel or 'black' market for US dollars in Greece using monthly data for the recent float. Johansen's FIML multivariate cointegration techniques is applied. Recent development associated...

In this paper we model the volatility of the Athens Stock Exchange general index. With the use of alternative conditional heteroskedasticity models (Glonsten et al., 1993; Bollerslev, 1986; Zakoian, 1991) we investigate whether stock returns include incremental information when we model index...

This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the...