Details about Angelos Kanas

Access statistics for papers by Angelos Kanas.

Last updated 2009-10-14. Update your information in the RePEc Author Service.

Short-id: pka201

Working Papers

2008

1. Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
   Working Papers, University of Crete, Department of Economics

2004

2. HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA
   Econometrics, EconWPA

2001

3. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
   Working Papers, University of Crete, Department of Economics View citations
   See also Journal Article in International Review of Economics & Finance (2005)

Undated

4. Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests
   Working Papers, University of Crete, Department of Economics View citations
   See also Journal Article in Applied Financial Economics (1998)
5. Mean and Variance Causality of Black and Official Exchange Rates: Evidence from four Latin American Countries
   Working Papers, University of Crete, Department of Economics
6. Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM
   Working Papers, University of Crete, Department of Economics
7. Volatility Spillovers between the Black and Official Market for foreign Currency in Greece
   Working Papers, University of Crete, Department of Economics View citations

Journal Articles

2009

1. Real exchange rates and developing countries
   International Journal of Finance & Economics, 2009, 14, (3), 280-299
2. Regime switching in stock index and futures markets: a note on the NIKKEI evidence
   International Journal of Finance & Economics, 2009, 14, (4), 394-399
3. The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006
   Journal of Economics and Finance, 2009, 33, (2), 111-127

2008

4. A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (07), 657-671
5. Modeling regime transition in stock index futures markets and forecasting implications
   Journal of Forecasting, 2008, 27, (8), 649-669
6. On real interest rate dynamics and regime switching
   Journal of Banking & Finance, 2008, 32, (10), 2089-2098
7. Overview of the special issue on Euro area expansion: Current state and future prospects
   Journal of International Money and Finance, 2008, 27, (2), 165-168

2007

8. Regime dependence between the official and parallel foreign currency markets for US dollars in Greece
   Journal of Macroeconomics, 2007, 29, (2), 431-449 View citations

2006

9. Purchasing Power Parity and Markov Regime Switching
   Journal of Money, Credit and Banking, 2006, 38, (6), 1669-1687 View citations

2005

10. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    International Review of Economics & Finance, 2005, 14, (2), 181-201 View citations
    See also Working Paper (2001)
11. MODELLING THE US/UK REAL EXCHANGE RATE-REAL INTEREST RATE DIFFERENTIAL RELATION: A MULTIVARIATE REGIME SWITCHING APPROACH
    Manchester School, 2005, 73, (2), 123-140 View citations
12. Nonlinearity in the stock price-dividend relation
    Journal of International Money and Finance, 2005, 24, (4), 583-606
13. Pure contagion effects in international banking: The case of BCCI’s failure
    Journal of Applied Economics, 2005, VIII, 101-123
14. Real interest rates linkages between the USA and the UK in the postwar period
    International Journal of Finance & Economics, 2005, 10, (3), 251-262
15. Real or monetary? The US/UK real exchange rate, 1921-2002
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 21-38
16. Regime (non)stationarity in the US/UK real exchange rate
    Economics Letters, 2005, 87, (3), 407-413 View citations
17. Regime linkages between the Mexican currency market and emerging equity markets
    Economic Modelling, 2005, 22, (1), 109-125 View citations
18. Regime linkages in the US/UK real exchange rate-real interest differential relation
    Journal of International Money and Finance, 2005, 24, (2), 257-274 View citations

2004

19. Contagion in banking due to BCCI's failure: evidence from national equity indices
    International Journal of Finance & Economics, 2004, 9, (3), 245-255
20. Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting
    Journal of Forecasting, 2004, 23, (4), 237-250 View citations
21. Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios
    Empirical Economics, 2004, 29, (3), 575-592

2003

22. Non-linear cointegration between stock prices and dividends
    Applied Economics Letters, 2003, 10, (7), 401-405
23. Non-linear forecasts of stock returns
    Journal of Forecasting, 2003, 22, (4), 299-315 View citations

2002

24. Is Exchange Rate Volatility Influenced by Stock Return Volatility? Evidence from the US, the UK and Japan
    Applied Economics Letters, 2002, 9, (8), 501-03 View citations
25. Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries
    The Financial Review, 2002, 37, (2), 137-163 View citations
26. Mean and Variance Spillovers among Size-Sorted UK Equity Portfolios
    Applied Economics Letters, 2002, 9, (5), 319-23

2001

27. Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece
    International Journal of Finance & Economics, 2001, 6, (1), 13-25 View citations
28. Comparing linear and nonlinear forecasts for stock returns
    International Review of Economics & Finance, 2001, 10, (4), 383-398 View citations
29. Hedging Exchange Rate Economic Exposure: Real Options Or Currency Options?
    Economia Internazionale / International Economics, 2001, 54, (1), 1-14
30. Neural Network Linear Forecasts for Stock Returns
    International Journal of Finance & Economics, 2001, 6, (3), 245-54 View citations

2000

31. Exchange Rate Economic Exposure under Collusive Pricing and Hedging Using Asian Currency Options
    Economia Internazionale / International Economics, 2000, 53, (1), 53-67
32. Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM
    Journal of International Money and Finance, 2000, 19, (1), 135-152 View citations
33. Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (1), 69-82 View citations
34. Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence
    Journal of Business Finance & Accounting, 2000-05, 27, (3&4), 447-467 View citations
    Also in Journal of Business Finance & Accounting, 2000-04, 27, (3-4), 447-467 (2000-04) View citations

1999

35. A Note on the Long-Run Benefits from International Equity Diversification for a UK Investor Diversifying in the US Equity Market
    Applied Economics Letters, 1999, 6, (1), 49-53 View citations

1998

36. Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests
    Applied Financial Economics, 1998, 8, (6), 607-14 View citations
    See also Working Paper
37. Long-Run Benefits from International Equity Diversification: A Note on the Canadian Evidence
    Applied Economics Letters, 1998, 5, (10), 659-63 View citations
38. Testing for a Unit Root in ERM Exchange Rates in the Presence of Structural Breaks: Evidence from the Bootstrap
    Applied Economics Letters, 1998, 5, (7), 407-10 View citations
39. Volatility Spillovers across Equity Markets: European Evidence
    Applied Financial Economics, 1998, 8, (3), 245-56 View citations

1997

40. Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis
    Journal of Multinational Financial Management, 1997, 7, (1), 27-42 View citations
41. Nonlinear Dependence in British Pound Exchange Rates
    Applied Economics Letters, 1997, 4, (10), 631-33
42. The Monetary Exchange Rate Model within the ERM: Cointegration Tests and Implications concerning the German Dominance Hypothesis
    Applied Financial Economics, 1997, 7, (6), 587-98 View citations