Similar Search Results

COINTEGRATION TESTS OF FORWARD MARKET EFFICIENCY DURING THE 1920s

Diamantis, Panayiotis; Kouretas, George; Georgoutsos, … - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005344140

The Monetary Model in the Presence of I (2) Components: A Cointegration Analysis

Diamantis, Panayiotis; Georgoutsos, Dimitris; Kouretas, … - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005344141

TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS

Georgoutsos, Dimitris; Kouretas, George; Tserkezos, Dikaios - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005344153

LONG-RUN PURCHASING POWER PARITY: HOW SURE ARE WE THAT COINTEGRATION EXISTS?

Diamantis, Panayiotis; Georgoutsos, Dimitris; Kouretas, … - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005344165

THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY

Diamantis, Panayiotis; Georgoutsos, Dimitris; Kouretas, … - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005200838

THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY

Georgoutsos, Dimitris; Kouretas, George - Department of Economics, University of Crete

Persistent link: https://www.econbiz.de/10005200840

Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus

Bekiros, Stelios; Georgoutsos, Dimitris - In: Applied Financial Economics 18 (2007) 3, pp. 239-254

In this article we apply the Extreme Value Theory (EVT) in order to estimate the Value-at-Risk (VaR) and the correlation of extreme returns for two inherently unstable markets; the foreign exchange and the stock market. We also derive the corresponding VaR estimates from more 'traditional'...

Persistent link: https://www.econbiz.de/10009278651

Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus

Bekiros, Stelios; Georgoutsos, Dimitris - In: Applied financial economics 18 (2008) 3, pp. 239

Persistent link: https://www.econbiz.de/10007895844

Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus

Bekiros, Stelios; Georgoutsos, Dimitris - In: Applied financial economics 18 (2008) 1-3, pp. 239

Persistent link: https://www.econbiz.de/10007901007

Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index

Bekiros, Stelios; Georgoutsos, Dimitris - In: The European journal of finance 14 (2008) 5, pp. 397-408

Persistent link: https://www.econbiz.de/10008081704