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Details about Nikitas Pittis

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Workplace:Department of Banking and Financial Management, University of Piraeus, (more information at EDIRC)

Access statistics for papers by Nikitas Pittis.

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

Short-id: ppi201


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Working Papers

2009

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

2006

  1. Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests
    The Institute for International Integration Studies Discussion Paper Series, IIIS Downloads View citations (2)
    Also in Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth (2006) Downloads View citations (1)

    See also Journal Article in Empirical Economics (2010)
  2. 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 Downloads
    Also in Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth (2006) Downloads View citations (1)

2004

  1. Parameter Instability and Forecasting Performance. A Monte Carlo Study
    Economics Series, Institute for Advanced Studies Downloads
  2. 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 Downloads
  3. 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 Downloads View citations (7)
    Also in Economics Series, Institute for Advanced Studies (2004) Downloads View citations (2)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads View citations (1)

1990

  1. Pricing and Product Market Structure in Open Economies: An Empirical Test
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads 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 Downloads View citations (4)

2010

  1. Looking far in the past: revisiting the growth-returns nexus with non-parametric tests
    Empirical Economics, 2010, 38, (3), 743-766 Downloads View citations (6)
    See also Working Paper (2006)
  2. Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
    Economics Letters, 2010, 106, (2), 84-86 Downloads View citations (1)

2009

  1. Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
    Journal of Forecasting, 2009, 28, (7), 612-630 Downloads
  2. 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 Downloads

2008

  1. Cointegration, variance shifts and the limiting distribution of the OLS estimator
    Economics Letters, 2008, 99, (1), 103-106 Downloads View citations (2)
  2. Testing for a unit root under errors with just barely infinite variance
    Journal of Time Series Analysis, 2008, 29, (6), 1066-1087 Downloads View citations (9)

2005

  1. The Feldstein-Horioka puzzle revisited: A Monte Carlo study
    Journal of International Money and Finance, 2005, 24, (7), 1143-1149 Downloads View citations (28)

2004

  1. 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 Downloads View citations (60)
  2. Estimator Choice and Fisher's Paradox: A Monte Carlo Study
    Econometric Reviews, 2004, 23, (1), 25-52 Downloads View citations (29)
  3. Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
    Applied Financial Economics, 2004, 14, (14), 981-989 Downloads View citations (12)
  4. Testing for Granger causality in variance in the presence of causality in mean
    Economics Letters, 2004, 85, (2), 201-207 Downloads View citations (28)

2003

  1. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 Downloads View citations (15)
  2. Testing for PPP: the erratic behaviour of unit root tests
    Economics Letters, 2003, 80, (2), 277-284 Downloads View citations (13)

2002

  1. Causality Links between Consumer and Producer Prices: Some Empirical Evidence
    Southern Economic Journal, 2002, 68, (3), 703-711 View citations (20)
  2. Exogeneity and measurement of persistence
    Revista de Economía del Rosario, 2002 Downloads
  3. KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD
    Econometric Theory, 2002, 18, (4), 948-961 Downloads View citations (6)
  4. Testing for Causality-in-Variance: An Application to the East Asian Markets
    International Journal of Finance & Economics, 2002, 7, (3), 235-45 Downloads View citations (49)
  5. 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

  1. Parameter instability, superexogeneity, and the monetary model of the exchange rate
    Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 Downloads View citations (2)
  2. Persistence in macroeconomic time series: Is it a model invariant property?
    Revista de Economía del Rosario, 2001 Downloads
  3. Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
    Journal of Policy Modeling, 2001, 23, (6), 637-650 Downloads View citations (16)

1999

  1. Cointegration and joint efficiency of international commodity markets
    The Quarterly Review of Economics and Finance, 1999, 39, (2), 213-231 Downloads View citations (7)
  2. Forward versus reverse regression and cointegration
    Economics Letters, 1999, 65, (2), 157-163 Downloads View citations (1)
  3. 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 Downloads View citations (51)

1998

  1. Cointegration and predictability of asset prices1
    Journal of International Money and Finance, 1998, 17, (3), 441-453 Downloads View citations (17)
  2. Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
    Journal of Policy Modeling, 1998, 20, (5), 581-601 Downloads View citations (3)
  3. Term structure and interest differentials as predictors of future inflation changes and inflation differentials
    Applied Financial Economics, 1998, 8, (6), 615-625 Downloads View citations (7)
  4. Unit roots and long-run causality: investigating the relationship between output, money and interest rates
    Economic Modelling, 1998, 15, (1), 91-112 Downloads View citations (11)

1997

  1. Domestic and external factors in interest rate determination
    Applied Financial Economics, 1997, 7, (5), 465-471 Downloads View citations (3)

1996

  1. Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
    Journal of Macroeconomics, 1996, 18, (4), 693-714 Downloads View citations (16)
  2. Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
    Economic Modelling, 1996, 13, (1), 1-14 Downloads View citations (5)
  3. 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 Downloads

1995

  1. Inflation convergence in the EMS: Some additional evidence. A reply
    Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 Downloads View citations (1)
  2. Interest rate linkages within the European Monetary System: an alternative interpretation
    Applied Economics Letters, 1995, 2, (2), 45-47 Downloads View citations (7)
  3. Nominal exchange rate regimes and the stochastic behavior of real variables
    Journal of International Money and Finance, 1995, 14, (3), 395-415 Downloads View citations (13)

1994

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

1993

  1. Common stochastic trends and inflation convergence in the EMS
    Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (2), 207-215 Downloads View citations (32)
  2. 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 (2)
 
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