Τμήμα Οικονομικών Επιστημών | working papers

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Econometrics , Data Analytics - 2014

Testing the Linearity of a Time Series

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 competitive tests in small samples.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/683/images//p1b5gjarlk1ik81uav1bm7pl37he4.jpg

Econometrics , Data Analytics - 2013

Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange.

In this paper we investigate the effects of temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/682/images//p1b5gir5mimgj1ochnet182jm7v4.jpg

Econometrics , Data Analytics - 2013

Temporal Aggregation and the Ramsey's Test for Functional Form: Results from Empirical and Monte Carlo experiment

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.

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Econometrics , Data Analytics - 2013

Non-Linear Diachronic Interaction Between the Advance/Decline Ratio Index and the Returns of the Market's General Index: Empirical Evidence from the Athens Stock Exchange

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.

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Finance , Applied Research - 2009

Portfolio Management: An Investigation of the Implications of Measurement Errors in Stock Prices on the Creation, Management and Evaluation of Stock Portfolios, Using Stochastic Simulations

In this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/713/images//p1b61h0f43r301ont15aa1i3f6j94.jpg

Finance , Applied Research - 2009

Nonlinear Diachronic Relationships between Financial Newspapers Circulations and the General Index of the Athens Stocks Exchange

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).

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Econometrics , Applied Research - 2009

Evaluation of the Diachronic Performance of the OECD Macroeconomic Forecasts for Greece

A variety of standard forecasting accuracy criteria and one suggestion are applied to evaluate the OECD's macroeconomic forecasts for Greece for the aggregate demand and output, the GDP implicit price deflator, the investment, the imports and the exports of goods and services.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/737/images//p1b767s3cb115hlnuolg1m2u62k4.jpg

Finance , Applied Research - 2008

Optimal Portfolio Analysis for the Czech Republic, Hungary and Poland During 2001-2006 Period

This paper examines the strategy of investing in selected East European stock markets: The Czech Republic, Hungary, and Poland.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/744/images//p1b76gs7g3iihsad18jfor51j8o4.jpg

Macroeconomics , Data Analytics - 2008

Consumer Price Index. Does the Price Collection Frequency Matter? Some Monte Carlo Results.

In this paper, we examine the effects of data collection frequency on the computation of the Consumer Price Index (CPI).

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/745/images//p1b76hgordt7g17f64dda6g12s44.jpg

Econometrics , Data Analytics - 2008

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results.

This short paper demonstrates the effects of using missing data on the power of the well-known Hausman (1978) test for simultaneity in structural econometric models.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/748/images//p1b7j9diispua10l11ff1pag10cs4.jpg

Finance , Data Analytics - 2008

Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange

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.

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Macroeconomics , Data Analytics - 2008

A Note on the Diachronic Behaviour of the OECD Forecasts for Greece

In this short paper a Gamma distributed lags model is used to study the diachronic responses between the actual data and the forecasts supplied by OECD the last 27 years for the case of the Greek Economy.

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Econometrics , Data Analytics - 2008

Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results

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 under different temporal aggregation levels.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/749/images//p1b7jlt1qsj364h41arp80u1qao4.jpg

Econometrics , Data Analytics - 2008

Testing the Linearity of a Time Series. Some Monte-Carlo and Empirical Tests

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.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/785/images//p1b9tsom6c1nk819agvc69fh67e4.jpg

Econometrics , Data Analytics - 2007

Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy

This paper is using simple nonlinearity tests to provide evidence of a positive and significant causal relationship going from stock market development to economic growth in Greece during the last 10 years.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/736/images//p1baevdjqp154f1d0r1ngofc81l4i4.jpg

Finance , Applied Research - 2006

Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results

In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach

- 1995

AUTHOR

Tserkezos Dikaios

Testing the Linearity of a Time Series

Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange.

Temporal Aggregation and the Ramsey's Test for Functional Form: Results from Empirical and Monte Carlo experiment

Non-Linear Diachronic Interaction Between the Advance/Decline Ratio Index and the Returns of the Market's General Index: Empirical Evidence from the Athens Stock Exchange

Portfolio Management: An Investigation of the Implications of Measurement Errors in Stock Prices on the Creation, Management and Evaluation of Stock Portfolios, Using Stochastic Simulations

Nonlinear Diachronic Relationships between Financial Newspapers Circulations and the General Index of the Athens Stocks Exchange

Evaluation of the Diachronic Performance of the OECD Macroeconomic Forecasts for Greece

Optimal Portfolio Analysis for the Czech Republic, Hungary and Poland During 2001-2006 Period

Consumer Price Index. Does the Price Collection Frequency Matter? Some Monte Carlo Results.

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results.

Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange

A Note on the Diachronic Behaviour of the OECD Forecasts for Greece

Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results

Testing the Linearity of a Time Series. Some Monte-Carlo and Empirical Tests

Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy

Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results

TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS

myEcon Newsletter

AUTHOR

Tserkezos Dikaios

myEcon Newsletter

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