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Testing for PPP: the erratic behaviour of unit root tests

Caporale, Guglielmo Maria; Pittis, Nikitas; Sakellis, … - In: Economics Letters 80 (2003) 2, pp. 277-284

Persistent link: https://www.econbiz.de/10005296937

THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY

Caporale, Guglielmo Maria; Ntantamis, Christos; … - Economics and Finance Section, School of Social … - 2004

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews,...

Persistent link: https://www.econbiz.de/10005249098

Persistence in real variables under alternative exchange rate regimes : Some multi-country evidence

Caporale, Guglielmo Maria; Kalyvitis, Sarantis; Pittis, … - In: Economics Letters 45 (1994) 1, pp. 93-102

Persistent link: https://www.econbiz.de/10005297011

Nominal exchange rate regimes and the stochastic behavior of real variables

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Journal of International Money and Finance 14 (1995) 3, pp. 395-415

Persistent link: https://www.econbiz.de/10005311634

Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan

Caporale, Guglielmo Maria; Kalyvitis, Sarantis; Pittis, … - In: Journal of Policy Modeling 23 (2001) 6, pp. 637-650

Persistent link: https://www.econbiz.de/10005384000

Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Economic Modelling 13 (1996) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10005205602

Unit roots and long-run causality: investigating the relationship between output, money and interest rates

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - In: Economic Modelling 15 (1998) 1, pp. 91-112

Persistent link: https://www.econbiz.de/10005205766

Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS

Caporale, Guglielmo Maria; Kalyvitis, Sarantis; Pittis, … - In: Journal of Macroeconomics 18 (1996) 4, pp. 693-714

Persistent link: https://www.econbiz.de/10005205870

Efficient Estimation of Cointegrating Vectors and Testing for Causality in Vector Autoregressions.

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Journal of Economic Surveys 13 (1999) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10005215118

The Feldstein-Horioka puzzle revisited: A Monte Carlo study

Caporale, Guglielmo Maria; Panopoulou, Ekaterini; … - In: Journal of International Money and Finance 24 (2005) 7, pp. 1143-1149

Persistent link: https://www.econbiz.de/10005339147

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