This article examines a tracking problem, similar to the one presented in Pliska and Suzuki (Quantitative Finance, 2004): an investor would keep constant proportions of her wealth in different assets if markets were frictionless; however, in the presence of fixed and proportional transaction...

The present paper develops an econometric model for measuring input-oriented technical efficiency when the underlying technology is characterized by the lack of substitution between inputs. In this instances, Farrell’s radial measure of technical inefficiency is inappropriate as it may be...

Contingent Valuation studies are often characterized by a considerable amount of protest responses, which may have an important effect on the final estimates if the protest responses are not randomly distributed across the sample. If the standard procedure of censoring protest responses is...

This paper investigates whether the nominal euro exchange rate against the currencies of China, Japan, the UK and the USA converges or not to its equilibrium level. Applying cointegration and common trend techniques in the presence of structural breaks in the data, we found a valid long-run...

In this paper we provide an investigation on the potential benefits that may exist for portfolio managers, private and institutional investors from domestic portfolio diversification. We employ daily data for the period 1996-2002 from the Cyprus Stock Exchange, recently established emerging...

This paper discusses three modelling techniques, which apply to multiple time series data that correspond to different spatial locations (spatial time series). The first two methods, namely the Space-Time ARIMA (STARIMA) and the Bayesian Vector Autoregressive (BVAR) model with spatial priors...

This paper introduces a political-economy framework to investigate the role of finance in economic instability and crisis. It is argued that the rise in income of rentiers, private bankers and other groups of financial capitalists merits responsibility for the economic and financial instability,...

The paper discusses the design of optimal regulatory policies under an alternative analytical framework of unbounded and bounded rationality, by considering the mechanism that provides the type of the optimal CAP instruments that ensure the collective attainment of a social environmental target,...

This paper explores the methodology of regime-switching in the analysis of the income inequality-economic growth relationship. The underlying idea is that when some income determinant passes a certain threshold introduces a new relationship between inequality and income and/or income...

Greece is a low-productivity economy with an ineffective welfare state, relying almost exclusively on low wages and social transfers. Failure to come to terms with this reality hampers both the appropriateness of EU recommendations and the Greek government's capacity to deal with unemployment....