Farming activity is modeled under an intervention policy regime, combining the environmental requirements of the Council Nitrates Directive (91/676/EEC) and the compensatory provisions of the second pillar of the Common Agricul- tural Policy. The optimizing behavioural rule along with the...

The vast majority of research related to optimal asset allocation strategies in the presence of transaction costs, requires formulation of highly sophisticated numerical schemes for the estimation of no-transaction bands; moreover, the optimization objectives examined are far less compared to...

This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values...

This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...

In this paper, we examine how the structure of an imperfectly competitive input market affects final-good producers’ incentives to form a Research Joint Venture (RJV), in a differentiated duopoly where R&D investments exhibit spillovers. Although a RJV is always profitable, downstream firms’...

This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates for the 10 new EU countries, along with Bulgaria and Romania. The empirical results support the expectations theory of the term structure for...

This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be...

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...