Empirical tests typically provide evidence that the British pound-US dollar exchange rate and the relative wholesale price index contain exact unit roots and exhibit cointegration. However, the cointegrating vector is significantly different from [1, - 1], thus raising doubts on the validity of...

This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...

In this study we examine the widely used Brock, Dechert, and Scheinkman (BDS) test when applied to the logarithm of the squared standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996; Econometric...

The paper assesses the existence of the Environmental Kuznets Curve (EKC) hypothesis, across 48 contiguous states of the US, using recent advances in panel data techniques, given the existence of cross-sectional dependence, which in turn, makes reliance on time-series evidence biased. The Common...

This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector...

This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest...