The present study examines a series of performance measures with the aim of solving the ex-post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors...

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...

This paper reviews the main features of the banking and financial sector in ten new EU members, and then examines the relationship between financial development and economic growth in these countries by estimating a dynamic panel model over the period 1994-2007. The evidence suggests that the...

This paper examines the existence of time trends in the infant mortality rates in a number of countries in the twentieth century. We test for the presence of deterministic trends by adopting a linear model for the log-transformed data. Instead of assuming that the error term is a stationary...

This article estimates a fractional integration model with nonlinear deterministic trends for the inflation rates of five African countries. The results indicate that nonlinearities are present in the case of Angola and Lesotho, but not in the case of Botswana, Namibia and South Africa....

This paper reviews the main features of the banking and financial sector in 10 new European Union members, and then examines the relationship between financial development and economic growth in these countries by estimating a dynamic panel model over the period 1994–2007. The evidence...

The US–China data suggest that (i) the real exchange rate (RER) volatility puzzle (high RER volatility relative to consumption volatility), (ii) the Backus–Smith anomaly (negative correlation between the RER and consumption differentials), (iii) the consumption correlation puzzle (relatively...

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...