In this paper we use cointegration techniques to test the long-run Purchasing Power Parity (PPP) hypothesis for nine Drachma exchange rates within the European currency area. The results support the long-run PPP hypothesis only in the cases of Portugal, Spain and the UK, as these countries were...

This paper presents empirical evidence on the performance of a number of selected risk measurement models for measuring the value-at-risk in the South Korean stock market with regard to their ability to consistently furnish accurate estimated VaR risk measure during good and bad times. The...

This paper compares a select number of Value-at-Risk (VaR) models using daily data from the London stock exchange for estimating the model-based VaR. The period covers volatile market conditions triggered by a host of events that induced market uncertainty. Our results provide an indication of...

This paper compares a select number of Value-at-Risk (VaR) models using daily data from the London stock exchange for estimating the model-based VaR. The period covers volatile market conditions triggered by a host of events that induced market uncertainty. Our results provide an indication of...

Market efficiency tests in developing markets display mixed evidence, in contrast to evidence on developed markets where the null hypothesis seems to be supported. Specifically, previous tests for market efficiency on the index and on samples of stocks traded in the Athens Stock Exchange (ASE)...