Similar Search Results

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-6

There is no available Prais-Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and...

Persistent link: https://www.econbiz.de/10012617254

Drift in the relative price of primary commodities : a case where we care about unit roots

Newbold, Paul - In: Applied economics 28 (1996) 4, pp. 653-661

Persistent link: https://www.econbiz.de/10001202668

Defence spending and economic growth : a causal analysis for Greece and Turkey

Dunne, Paul; Nikolaidou, Eftychia; Vougas, Dimitrios V. - In: Defence and peace economics 12 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001603919

Hedge ratios in Greek stock index futures market

Floros, Christos; Vougas, Dimitrios V. - In: Applied financial economics 14 (2004) 15, pp. 1125-1136

Persistent link: https://www.econbiz.de/10002391583

Unit root testing against an ST-MTAR alternative : finite-sample properties and an application to the UK housing market

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics 41 (2009) 10/12, pp. 1397-1404

Persistent link: https://www.econbiz.de/10003845351

Examining the robustness of cointegration analysis under weighted symmetric estimation

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 711-714

Persistent link: https://www.econbiz.de/10003588760

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633

Drift in the relative price of primary commodities: A case where we care about unit roots

Newbold, P.; Vougas, D. - In: Applied economics 28 (1996) 6, pp. 653-662

Persistent link: https://www.econbiz.de/10007619989

The efficiency of Greek stock index futures market

Floros, Christos; Vougas, Dimitrios V. - In: Managerial Finance 34 (2008), pp. 498-519

Purpose - The paper's objectives are: to address the issue of cointegration (efficient market hypothesis) between Greek spot and futures markets over the period of the crisis, 1999-2001; to investigate the short-run and long-run efficiency of the FTSE/ASE-20 stock index futures contract and FTSE/ASE...

Persistent link: https://www.econbiz.de/10010814884

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics 9 (2021) 3, pp. 1-6

Persistent link: https://www.econbiz.de/10012696337