In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low...

This paper examines the issue of mean and variance causality across four equity markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers among the stock markets of Cyprus, Athens, London...

This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov-Switching framework. Modelling stock returns within this...

This paper examines the short- and long-term relationships between seven Central Eastern European (CEE) stock markets and two developed stock markets, namely the German market and the US market. Application of the Gonzalo and Granger (1995) methodology indicates that the examined stock markets...

The issue of volatility spillovers between the black and official exchange markets for U.S. dollars in Greece for 1975-1989 is examined in this paper. A vector error correction-bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and...

The purpose of this paper is to gain better understanding of the black market premium - the percentage differential between the black market and the official exchange rate. Tests are used to examine whether the black market premium responds to variations in expectations about the official...

This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using the corresponding monthly exchange rate against the US dollar for the period 1976-1993. Specifically, we apply an EGARCH-M model to study the behaviour of...

In this study we explore the implications for the identification of common stochastic trends among stock price indices of using data transformed in a quot;real dollarquot; basis. By applying a quot;generalquot; VAR model where all the relevant variables (stock indices, consumer priced indices...

In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply the multivariate cointegration technique suggested by Johansen...