When it comes to variable interpretation, multicollinearity is among the biggest issues that must be surmounted, especially in this new era of Big Data Analytics. Since even moderate size multicollinearity can prevent proper interpretation, special diagnostics must be recommended and implemented...

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...

This paper describes participation of Cyprus households in various debts using data from the first (1999) Cyprus Survey of Consumer Finances. It complements our previous paper that described household participation in various types of assets (Haliassos et al., 2001). Debts considered encompass...

This paper describes participation of Cyprus households in financial and real assets using new data from the 1999 Cyprus Survey of Consumer Finances, and compares Cyprus to the United States and four major European countries. Almost 9 out of 10 Cyprus households own some financial asset. After...

Log-concavity and log-convexity play a key role in various scientific fields, especially in those where the distinction between exponential and non-exponential distributions is necessary for inferential purposes. In the present study, we introduce a testing procedure for the tail part of a...