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...

Approximations of the usual GLS transformation matrices are proposed for estimation with AR error that remove boundary discontinuities. The proposed method avoids constrained optimization or rules of thumb that unnecessarily enforce estimated parameters to be in the interior.