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Maximum likelihood estimation of cointegration vectors : testing for the existence of purchasing power parity

Georgoutsos, Demetris A. - In: Rivista internazionale di scienze economiche e … 40 (1993) 3, pp. 215-231

Persistent link: https://www.econbiz.de/10001141799

The monetary model of the exchange rate and the Greek drachma in the 1920s

Georgoutsos, Demetris A. - In: Applied financial economics 7 (1997) 5, pp. 507-515

Persistent link: https://www.econbiz.de/10001229836

Cointegration tests of the monetary exchange rate model : the Canadian-US dollar, 1970 - 1994

Diamandis, Panayotis F. - In: International economic journal 10 (1996) 4, pp. 83-97

Persistent link: https://www.econbiz.de/10001214434

The monetary approach to the exchange rate : long-run relationships, identification and temporal stability

Diamandis, Panayotis F. - In: Journal of macroeconomics 20 (1998) 4, pp. 741-766

Persistent link: https://www.econbiz.de/10001251026

Interest parity, cointegration, and the term structure : testing in an integrated framework

Georgoutsos, Demetris A.; Kouretas, Georgios P. - In: International review of financial analysis 46 (2016), pp. 281-294

Persistent link: https://www.econbiz.de/10011582102

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

Persistent link: https://www.econbiz.de/10012171036

The relevance of the monetary model for the Euro/USD exchange rate determination : a long run perspective

Georgoutsos, Demetris A.; Kouretas, Georgios P. - In: Open economies review 28 (2017) 5, pp. 989-1010

Persistent link: https://www.econbiz.de/10011804530

A multivariate I(2) cointegration analysis of German hyperinflation

Georgoutsos, Demetris A.; Kouretas, Georgios P. - In: Applied financial economics 14 (2004) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10001898815

The pound sterling and the franc Poincare in the 1920s : long-run relationships, speculation and temporal stability

Georgoutsos, Demetris A.; Kouretas, Georgios P. - In: Applied financial economics 10 (2000) 5, pp. 471-482

Persistent link: https://www.econbiz.de/10001527045

The monetary model in the presence of I(2) components : long-run relationships, short-run dynamics and forecasting of the Greek drachma

Diamandis, Panayotis F.; Georgoutsos, Demetris A.; … - In: Journal of international money and finance 19 (2000) 6, pp. 917-941

Persistent link: https://www.econbiz.de/10001527378