The finite-sample size properties of smooth transition unit root tests are examined when applied to unit root processes subject to breaks in either level or drift. In contrast to the weighted symmetric and recursively mean-adjusted unit root tests which have been shown to be robust in these...

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using...

This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

Non-rejection of a unit root hypothesis by usual Dickey & Fuller (1979) (DF, hereafter) or Phillips & Perron (1988) (hereafter PP) tests should not be taken as strong evidence in favour of unit root presence. There are less popular, but more powerful, unit root tests that should be employed...

A number of studies consider the relation between military spending and economic growth using Granger causality techniques. Some studies have used samples of groups of countries, finding no consistent results. Other studies have focused on individual countries, which permits greater knowledge of...

There are a number of studies which consider the relation between military spending and economic growth using Granger causality techniques rather than a well-defined economic model. Some have used samples of groups of countries, finding no consistent results. Others have focused on case studies...

The size distortion of the Dickey-Fuller (Journal of the American Statistical Association, 74, pp. 427-31, 1979) unit root test is examined in the presence of structural changes in both the level and variance of integrated time series. In contrast to previous studies, the empirically relevant...

Cook et al. (1998) have recently proposed the hypothesis of a positive relationship between the durability of consumers' expenditure and the asymmetric behaviour it exhibits. Some support was found for this hypothesis via the application of Sichel's (1993) univariate tests of business cycle...

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods,...