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Citations of
Angelos Kanas

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics. [Downloadable!]

  2. Angelos Kanas, . "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
    Published as:

    Cited by:

    1. Bank for International Settlements and Bank Negara Malaysia, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42, Janvier-M. [Downloadable!]
    2. M. Lucey, Brian & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    3. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA. [Downloadable!]
    4. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Documents de Travail 218, Banque de France. [Downloadable!]
    5. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements. [Downloadable!]
    6. Chanwit Phengpis, 2006. "Are emerging stock market price indices really stationary?," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 931-939, September. [Downloadable!] (restricted)
    7. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "Causality and Cointegration in Stock Markets: The Case of Latin America," Working Papers Series 56, Central Bank of Brazil, Research Department. [Downloadable!]
    8. Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series 116, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    9. Hakan Berument & Onur Ince, 2005. "Effect of S&P500’s Return on Emerging Markets : Turkish Experience," Departmental Working Papers 0508, Bilkent University, Department of Economics. [Downloadable!]
      Other versions:
    10. Francisco J. Climent & Vicente Meneu, . "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA. [Downloadable!]
      Other versions:
    11. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    12. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 169-178, August. [Downloadable!] (restricted)
    13. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS. [Downloadable!]
    14. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    15. Thomas Lagoarde-Segot & Brian M. Lucey, 2006. "Portfolio allocations in the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp141, IIIS. [Downloadable!]
    16. Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    17. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
    18. Elaine Jones, 2009. "Recession And International Market Correlations," Working Papers 0901, University of Central Missouri, Department of Economics & Finance, revised Jul 2009. [Downloadable!]
    19. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics. [Downloadable!]
    20. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)

  3. Angelos Kanas & George Kouretas, . "Volatility Spillovers between the Black and Official Market for foreign Currency in Greece," Working Papers 9903, University of Crete, Department of Economics.

    Cited by:

    1. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    2. Cumhur Erdem & Cem Kaan Arslan & Meziyet Sema Erdem, 2005. "Effects of macroeconomic variables on Istanbul stock exchange indexes," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 987-994, October. [Downloadable!] (restricted)

Articles

  1. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June. [Downloadable!] (restricted)

    Cited by:

    1. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    2. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]

  2. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September. [Downloadable!] (restricted)

    Cited by:

    1. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June. [Downloadable!]
    2. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-11. [Downloadable!]
    3. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299. [Downloadable!]

  3. Kanas, Angelos & Genius, Margarita, 2005. "Regime (non)stationarity in the US/UK real exchange rate," Economics Letters, Elsevier, vol. 87(3), pages 407-413, June. [Downloadable!] (restricted)

    Cited by:

    1. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer, vol. 33(4), pages 393-409, October. [Downloadable!] (restricted)
    2. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    3. Mark Holmes, 2008. "Real Exchange Rate Stationarity in Latin America and Relative Purchasing Power Parity: A Regime Switching Approach," Open Economies Review, Springer, vol. 19(2), pages 261-275, April. [Downloadable!] (restricted)
    4. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June. [Downloadable!]
    5. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118. [Downloadable!] (restricted)
    6. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-11. [Downloadable!]
    7. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach," Working Papers 0717, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    8. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299. [Downloadable!]
    9. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]

  4. Kanas, Angelos, 2005. "Regime linkages in the US/UK real exchange rate-real interest differential relation," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 257-274, March. [Downloadable!] (restricted)

    Cited by:

    1. Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Department of Economics, University of Glasgow. [Downloadable!]

  5. Angelos Kanas, 2005. "Modelling The Us/Uk Real Exchange Rate-Real Interest Rate Differential Relation: A Multivariate Regime Switching Approach," Manchester School, University of Manchester, vol. 73(2), pages 123-140, 03. [Downloadable!] (restricted)

    Cited by:

    1. Nikolaos Giannellis & Athanasios Papadopoulos, 2005. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU members," Working Papers 0719, University of Crete, Department of Economics, revised 08 Mar 2007. [Downloadable!]
      Other versions:

  6. Kanas, Angelos, 2005. "Regime linkages between the Mexican currency market and emerging equity markets," Economic Modelling, Elsevier, vol. 22(1), pages 109-125, January. [Downloadable!] (restricted)

    Cited by:

    1. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    2. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]

  7. Kanas, Angelos & Kouretas, Georgios P., 2005. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 181-201. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Angelos Kanas & Yue Ma, 2004. "Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 237-250. [Downloadable!]

    Cited by:

    1. Zhijun Zhao & Yue Ma & Yuhui Liu, 2005. "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers 142005, Hong Kong Institute for Monetary Research. [Downloadable!]

  9. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315. [Downloadable!]

    Cited by:

    1. Shiyi Chen & Kiho Jeong & Wolfgang K. Härdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    3. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]

  10. Kanas, Angelos, 2002. "Is Exchange Rate Volatility Influenced by Stock Return Volatility? Evidence from the US, the UK and Japan," Applied Economics Letters, Taylor and Francis Journals, vol. 9(8), pages 501-03, June. [Downloadable!] (restricted)

    Cited by:

    1. Lucía de las Nieves Morales, 2008. "Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 185-215. [Downloadable!]
    2. Liangjun Su & Halbert White, 2004. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series 2003-14, Department of Economics, UC San Diego. [Downloadable!]

  11. Angelos Kanas, 2002. "Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries," The Financial Review, Eastern Finance Association, vol. 37(2), pages 137-163, 05. [Downloadable!] (restricted)

    Cited by:

    1. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004,03, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    2. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics. [Downloadable!]
      Other versions:

  12. Kanas, Angelos & Yannopoulos, Andreas, 2001. "Comparing linear and nonlinear forecasts for stock returns," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 383-398, December. [Downloadable!] (restricted)

    Cited by:

    1. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    2. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315. [Downloadable!]
    3. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]

  13. Kanas, Angelos, 2001. "Neural Network Linear Forecasts for Stock Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 245-54, July. [Downloadable!] (restricted)

    Cited by:

    1. Paresh Kumar Narayan, 2005. "Are the Australian and New Zealand stock prices nonlinear with a unit root?," Applied Economics, Taylor and Francis Journals, vol. 37(18), pages 2161-2166, October. [Downloadable!] (restricted)
    2. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    3. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-11. [Downloadable!]
    4. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]

  14. Kanas, Angelos & Kouretas, Georgios P, 2001. "Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 13-25, January. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    2. Panayiotis F. Diamandis & Georgios P. Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 667-677, June. [Downloadable!] (restricted)

  15. Angelos Kanas, 2000. "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 27(3&4), pages 447-467. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Lucía de las Nieves Morales, 2008. "Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 185-215. [Downloadable!]
    2. Ching-Chun Wei, 2008. "Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets," Economics Bulletin, Economics Bulletin, vol. 3(64), pages 1-15. [Downloadable!]
    3. Gamini Premaratne & Prabhath Jayasinghe, 2005. "Exchange rate exposure of stock returns at firm level," International Finance 0503004, EconWPA. [Downloadable!]

  16. Ma, Yue & Kanas, Angelos, 2000. "Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 135-152, February. [Downloadable!] (restricted)

    Cited by:

    1. S. Chaouachi & G. Dufrenot & V.Mignon, 2003. "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," THEMA Working Papers 2003-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    2. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA. [Downloadable!]
    3. Shucheng Liu & Zhijun Zhao & Yue Ma & Matthew S. Yiu & Yak-yeow Kueh & Shu-ki Tsang, 2002. "The Full Convertibility of Renminbi: Sequencing and Influence," Working Papers 092002, Hong Kong Institute for Monetary Research. [Downloadable!]
    4. Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009. "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 17-29, May. [Downloadable!]
    5. Consuelo Gámez Amián & José L. Torres, 2004. "A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate," Economic Working Papers at Centro de Estudios Andaluces E2004/73, Centro de Estudios Andaluces. [Downloadable!]
    6. José Torres, 2007. "A non-parametric analysis of ERM exchange rate fundamentals," Empirical Economics, Springer, vol. 32(1), pages 67-84, April. [Downloadable!] (restricted)
      Other versions:
    7. Yue Ma & Guy Meredith & Matthew S. Yiu, 2002. "A Currency Board Model of Hong Kong," Working Papers 012002, Hong Kong Institute for Monetary Research. [Downloadable!]
    8. Gilles Dufrénot & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle, 2006. "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Applied Economics, Taylor and Francis Journals, vol. 38(2), pages 203-229, February. [Downloadable!] (restricted)
      Other versions:
    9. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets ," International Economic Journal, Korean International Economic Association, vol. 16(4), pages 121-139, December. [Downloadable!] (restricted)
    10. Zhi-Jun Zhao & Yue Ma & Yak-yeow Kueh & Shu-ki Tsang & Matthew S. Yiu & Shucheng Liu, 2004. "Banking Deregulation and Macroeconomic Impact in China: A Theoretical Analysis and Implications of WTO Accession to the Mainland and Hong Kong," Working Papers 082002, Hong Kong Institute for Monetary Research. [Downloadable!]
    11. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, EconWPA. [Downloadable!]
    12. Huayu Sun & Yue Ma, 2005. "Balance of Payments Surplus and Renminbi Revaluation Pressure," Working Papers 032005, Hong Kong Institute for Monetary Research. [Downloadable!]

  17. Ma, Yue & Kanas, Angelos, 2000. "Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 69-82, January. [Downloadable!] (restricted)

    Cited by:

    1. Brian Francis & Sunday Iyare, 2006. "Do exchange rates in caribbean and latin american countries exhibit nonlinearities?," Economics Bulletin, Economics Bulletin, vol. 6(14), pages 1-20. [Downloadable!]
    2. Venus Khim-Sen Liew & Kian-Ping Lim & Evan Lau & Chee-Keong Choong, 2003. "Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia," International Finance 0311014, EconWPA. [Downloadable!]
      Other versions:
    3. Consuelo Gámez Amián & José L. Torres, 2004. "A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate," Economic Working Papers at Centro de Estudios Andaluces E2004/73, Centro de Estudios Andaluces. [Downloadable!]
    4. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshah & Kian-Ping Lim, 2003. "On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity," International Finance 0309001, EconWPA, revised 01 Nov 2004. [Downloadable!]
      Other versions:
    5. José L. Torres, 2004. "A Non-parametric analysis of ERM exchange rate fundamentals," Economic Working Papers at Centro de Estudios Andaluces E2004/25, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    6. Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Ling, Tai-Hu, 2009. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries," MPRA Paper 15794, University Library of Munich, Germany. [Downloadable!]
    7. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor and Francis Journals, vol. 35(12), pages 1387-1392, August. [Downloadable!] (restricted)
    8. Liew, Venus Khim-Sen & Lee, Hock-Ann & Lim, Kian-Ping & Lee, Huay-Huay, 2006. "Linearity and stationarity of South Asian real exchange rates," MPRA Paper 517, University Library of Munich, Germany. [Downloadable!]
      Other versions:

  18. Kanas, Angelos, 1999. "A Note on the Long-Run Benefits from International Equity Diversification for a UK Investor Diversifying in the US Equity Market," Applied Economics Letters, Taylor and Francis Journals, vol. 6(1), pages 49-53, January. [Downloadable!] (restricted)

    Cited by:

    1. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    2. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, Economics Bulletin, vol. 7(4), pages 1-7. [Downloadable!]
    3. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics. [Downloadable!]
    4. Tsangyao Chang & Chien-Chung Nieh & Ching-Chun Wei, 2006. "Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2277-2283, October. [Downloadable!] (restricted)

  19. Kanas, Angelos, 1998. "Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 8(6), pages 607-14, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  20. Kanas, Angelos, 1998. "Testing for a Unit Root in ERM Exchange Rates in the Presence of Structural Breaks: Evidence from the Bootstrap," Applied Economics Letters, Taylor and Francis Journals, vol. 5(7), pages 407-10, July. [Downloadable!] (restricted)

    Cited by:

    1. C. Trenkler, . "The Polish Crawling Peg System: A Cointegration Analysis," Sonderforschungsbereich 373 2000-71, Humboldt Universitaet Berlin.
    2. Hans Genberg & Cho-hoi Hui, 2009. "The Credibility of the Link from the Perspective of Modern Financial Theory," Working Papers 0902, Hong Kong Monetary Authority. [Downloadable!]
    3. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    4. Cho-Hoi Hui & Chi-Fai Lo, 2008. "A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach," Working Papers 0809, Hong Kong Monetary Authority. [Downloadable!]
    5. C. H. Hui & C. F. Lo & V. Yeung & L. Fung, 2008. "Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 118-134. [Downloadable!]

  21. Kanas, Angelos, 1998. "Long-Run Benefits from International Equity Diversification: A Note on the Canadian Evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 5(10), pages 659-63, October. [Downloadable!] (restricted)

    Cited by:

    1. Tsangyao Chang & Chien-Chung Nieh & Ching-Chun Wei, 2006. "Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2277-2283, October. [Downloadable!] (restricted)

  22. Kanas, Angelos, 1998. "Volatility Spillovers across Equity Markets: European Evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 8(3), pages 245-56, June. [Downloadable!] (restricted)

    Cited by:

    1. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association. [Downloadable!]
    2. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    3. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]
    4. L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
      Other versions:
    5. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    6. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies. [Downloadable!]
    7. Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas, 2008. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US," Working Papers 0807, University of Crete, Department of Economics. [Downloadable!]
    8. Harju, Kari & Hussain, Syed Mujahid, 2006. "Intraday Linkages Across International Equity Markets," Working Papers 516, Hanken School of Economics. [Downloadable!]
    9. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    10. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, School of Economics and Business Administration, Tallinn University of Technology. [Downloadable!]
    11. Cumhur Erdem & Cem Kaan Arslan & Meziyet Sema Erdem, 2005. "Effects of macroeconomic variables on Istanbul stock exchange indexes," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 987-994, October. [Downloadable!] (restricted)

  23. Kanas, Angelos, 1997. "The Monetary Exchange Rate Model within the ERM: Cointegration Tests and Implications concerning the German Dominance Hypothesis," Applied Financial Economics, Taylor and Francis Journals, vol. 7(6), pages 587-98, December. [Downloadable!] (restricted)

    Cited by:

    1. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July. [Downloadable!] (restricted)

  24. Kanas, Angelos, 1997. "Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis," Journal of Multinational Financial Management, Elsevier, vol. 7(1), pages 27-42, April. [Downloadable!] (restricted)

    Cited by:

    1. WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005. "Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence," Working papers 2005-09, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    2. Patricia S. Pollard & Cletus C. Coughlin, 2004. "Size matters: asymmetric exchange rate pass-through at the industry level," Working Papers 2003-029, Federal Reserve Bank of St. Louis. [Downloadable!]
    3. Webber, A., 1999. "Newton's Gravity Law and Import Prices in the Asia Pacific," Economics Working Papers WP99-12, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    4. Gamini Premaratne & Prabhath Jayasinghe, 2005. "Exchange rate exposure of stock returns at firm level," International Finance 0503004, EconWPA. [Downloadable!]

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-12-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.