This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line with only positive weights. The state-of-the-art...

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange (ASE). Using intraday data I rst construct four state-of-the-art realized correlation estimators which I...

This paper investigates the economic value of dierent non-parametric realized volatility estimates in Efficient Frontier, Global Minimum Variance,Capital Market Line and Capital Market Line with only positive weights portfolio types. The dataset concerns the CAC40 index, the DAX index and the...

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...

An important issue for exchange rate pass-through (ERPT) is the extent to which exchange rate changes affect the prices of imported goods and the consumer prices. The objectives of this study are to make a comparative study by exploring the literature relating pass-through for import prices and...

This article investigates the relationship between income and corruption which provides an insight to the changes in the level of perceived corruption and economic development across countries. An existing shortcoming is that previous studies have focused only on detecting the linear effects of...

A number of recent studies for Latin America show that as the size of the informal economy grows, corruption is less harmful to inequality. We investigate if this relationship is equally compelling for developing countries in Asia where corruption, inequality and shadow economies are...

This paper examines the effects of economic freedom, democracy and its interaction term on controlling corruption. Interactive results indicate that economic freedom and democracy significantly combat corruption. Economic freedom reduces corruption in any political environment. Democracy...

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...