This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...

Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR) model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world's second largest oil exporter. The purpose of this...

Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR) model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world’s second largest oil exporter. The purpose of this...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...

This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...

Through this paper, we seek to shed light on the divergence between expected and observed returns. Empirical theory attributes this divergence to macroeconomic fundamental shocks. We try, via an ECM model, to study the existence of co-integration relations between macroeconomic volatility and...

Explaining exchange rates has long been an important but vexing issue in international economics and nance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...

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...