This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and...

This short paper demonstrates that the use of temporally aggregated data may affect the power and the size of the well known the Ramsey's (1969) RESET test. This test is widely used for testing the functional specification of a model. Using Empirical data and Monte Carlo techniques we found that...

This paper examines the existence of a linear or nonlinear interaction between the Advance/Decline ratio index and the returns of the Athens General Index. We investigate the possibility of a nonlinear causality mechanism through which the Advance/Decline ratio index (the ratio of the number of...

In this paper, we examine the effects of data collection frequency on the computation of the Consumer Price Index (CPI). Using stochastic simulation techniques, we conclude that the frequency of data collection has a considerable effect on CPI values. Our findings confirm the need for high...

A crucial aspect of empirical research based on ARIMA(p,q) model is the choice of the appropriate lag order. Several criteria have been used in order to identify the appropriate order of a ARIMA(p,q) process. In this paper we investigate the effects of using a variation of selection criteria...

This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE). We employed a nonlinear version of the Hsiao¢s (1979) linear causality technique in order to test...

In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated...

This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques with well known time domain linearity tests. Our results suggest that the suggested test over performs the power of the other...

A crucial aspect of empirical research is the stationarity properties of a time series. In this short chapter, we examine the effects of temporal aggregation on the power properties of the Augmented Dickey Fuller (ADF) stationarity test developed by Dickey, D.A. and W.A. Fuller, Journal of the...