Details about Nikitas Pittis

Access statistics for papers by Nikitas Pittis.

Last updated 2011-10-03. Update your information in the RePEc Author Service.

Short-id: ppi201

Working Papers

2009

1. Selectivity, Market Timing and the Morningstar Star-Rating System
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
   Also in CESifo Working Paper Series, CESifo (2009) View citations (1)

2006

2. Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests
   The Institute for International Integration Studies Discussion Paper Series, IIIS View citations (3)
   Also in Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2006) View citations (1)
   See also Journal Article Looking far in the past: revisiting the growth-returns nexus with non-parametric tests, Empirical Economics, Springer (2010) View citations (7) (2010)
3. The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates
   The Institute for International Integration Studies Discussion Paper Series, IIIS View citations (1)
   Also in Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2006) View citations (1)

2004

4. Parameter Instability and Forecasting Performance. A Monte Carlo Study
   Economics Series, Institute for Advanced Studies
5. Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence
   Economics Series, Institute for Advanced Studies View citations (3)
6. THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
   Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (3)
   Also in Economics Series, Institute for Advanced Studies (2004) View citations (3)
   Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)

1990

7. Pricing and Product Market Structure in Open Economies: An Empirical Test
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)

Journal Articles

2011

1. Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences
   Econometric Reviews, 2011, 30, (1), 88-108 View citations (5)

2010

2. Looking far in the past: revisiting the growth-returns nexus with non-parametric tests
   Empirical Economics, 2010, 38, (3), 743-766 View citations (7)
   See also Working Paper Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests, The Institute for International Integration Studies Discussion Paper Series (2006) View citations (3) (2006)
3. Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
   Economics Letters, 2010, 106, (2), 84-86 View citations (1)

2009

4. Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
   Journal of Forecasting, 2009, 28, (7), 612-630
5. Long‐Run PPP under the Presence of Near‐to‐Unit Roots: The Case of the British Pound–US Dollar Rate*
   Review of International Economics, 2009, 17, (1), 144-155

2008

6. Cointegration, variance shifts and the limiting distribution of the OLS estimator
   Economics Letters, 2008, 99, (1), 103-106 View citations (2)
7. Testing for a unit root under errors with just barely infinite variance
   Journal of Time Series Analysis, 2008, 29, (6), 1066-1087 View citations (14)

2005

8. The Feldstein-Horioka puzzle revisited: A Monte Carlo study
   Journal of International Money and Finance, 2005, 24, (7), 1143-1149 View citations (30)

2004

9. A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
   Econometrics Journal, 2004, 7, (2), 585-617 View citations (82)
10. Estimator Choice and Fisher's Paradox: A Monte Carlo Study
    Econometric Reviews, 2004, 23, (1), 25-52 View citations (31)
11. Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
    Applied Financial Economics, 2004, 14, (14), 981-989 View citations (13)
12. Testing for Granger causality in variance in the presence of causality in mean
    Economics Letters, 2004, 85, (2), 201-207 View citations (31)

2003

13. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 View citations (19)
14. Testing for PPP: the erratic behaviour of unit root tests
    Economics Letters, 2003, 80, (2), 277-284 View citations (14)

2002

15. Exogeneity and measurement of persistence
    Revista de Economía del Rosario, 2002
16. KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD
    Econometric Theory, 2002, 18, (4), 948-961 View citations (7)
17. Testing for Causality-in-Variance: An Application to the East Asian Markets
    International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (64)
18. Unit Roots versus Other Types of Time Heterogeneity, Parameter Time Dependence and Superexogeneity
    Journal of Forecasting, 2002, 21, (3), 207-23 View citations (5)

2001

19. Parameter instability, superexogeneity, and the monetary model of the exchange rate
    Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 View citations (3)
20. Persistence in macroeconomic time series: Is it a model invariant property?
    Revista de Economía del Rosario, 2001
21. Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
    Journal of Policy Modeling, 2001, 23, (6), 637-650 View citations (17)

1999

22. Cointegration and joint efficiency of international commodity markets
    The Quarterly Review of Economics and Finance, 1999, 39, (2), 213-231 View citations (7)
23. Forward versus reverse regression and cointegration
    Economics Letters, 1999, 65, (2), 157-163 View citations (2)
24. Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited
    Journal of International Money and Finance, 1999, 18, (1), 47-73 View citations (54)

1998

25. Cointegration and predictability of asset prices1
    Journal of International Money and Finance, 1998, 17, (3), 441-453 View citations (17)
26. Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
    Journal of Policy Modeling, 1998, 20, (5), 581-601 View citations (3)
27. Term structure and interest differentials as predictors of future inflation changes and inflation differentials
    Applied Financial Economics, 1998, 8, (6), 615-625 View citations (7)
28. Unit roots and long-run causality: investigating the relationship between output, money and interest rates
    Economic Modelling, 1998, 15, (1), 91-112 View citations (12)

1997

29. Domestic and external factors in interest rate determination
    Applied Financial Economics, 1997, 7, (5), 465-471 View citations (4)

1996

30. Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
    Journal of Macroeconomics, 1996, 18, (4), 693-714 View citations (20)
31. Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
    Economic Modelling, 1996, 13, (1), 1-14 View citations (5)
32. Testing for Unbiasedness of Term Structure and Interest Differentials as Predictors of Future Inflation Changes and Inflation Differentials
    Canadian Journal of Economics, 1996, 29, (s1), 565-69

1995

33. Inflation convergence in the EMS: Some additional evidence. A reply
    Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 View citations (1)
34. Interest rate linkages within the European Monetary System: an alternative interpretation
    Applied Economics Letters, 1995, 2, (2), 45-47 View citations (7)
35. Nominal exchange rate regimes and the stochastic behavior of real variables
    Journal of International Money and Finance, 1995, 14, (3), 395-415 View citations (14)

1994

36. Persistence in real variables under alternative exchange rate regimes: Some multi-country evidence
    Economics Letters, 1994, 45, (1), 93-102 View citations (2)
37. Testing for exchange rate bubbles using variance inequalities
    Journal of Macroeconomics, 1994, 16, (2), 359-367 View citations (1)

1993

38. Common stochastic trends and inflation convergence in the EMS
    Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (2), 207-215 View citations (33)
39. On the Exchange Rate of the Dollar: Market Fundamentals AU versus Speculative Bubbles
    The Manchester School of Economic & Social Studies, 1993, 61, (2), 167-84 View citations (3)