Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Aris Protopapadakis"'
Autor:
Igor Cialenco, Aris Protopapadakis
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 21:176-206
We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for 14 developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods. But
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b91ae8948c4581c1d7f3f0384318092e
https://doi.org/10.1016/j.intfin.2010.10.001
https://doi.org/10.1016/j.intfin.2010.10.001
Autor:
Neal Maroney, Aris Protopapadakis
Publikováno v:
Review of Finance. 6:189-221
The positive relation of returns with Book-to-Market ratio (BE/ME) and their negative relation withMarket Value(MVE) remains strong under a general stochastic discount function (SDF) that does not depend on a specific asset pricing model and avoids p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33dd48ef497877c0512a4b506051abaa
https://doi.org/10.1023/a:1020188410677
https://doi.org/10.1023/a:1020188410677
Autor:
Aris Protopapadakis, Mark J. Flannery
Publikováno v:
Review of Financial Studies. 15:751-782
Stock market returns are significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time invar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::de18edb2f5e80181ddc064caa2376a85
https://doi.org/10.1093/rfs/15.3.751
https://doi.org/10.1093/rfs/15.3.751
Autor:
Aris Protopapadakis, Andy Naranjo
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 7:93-135
The literature on international financial market integration contains conflicting results, in part because there exists no economic benchmark of integration to which the statistical results can be compared. We provide such a benchmark. We subject the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::035eff9ac64e8231e7d301908a8cc9fc
https://doi.org/10.1016/s1042-4431(97)00015-2
https://doi.org/10.1016/s1042-4431(97)00015-2
Autor:
Aris Protopapadakis
Publikováno v:
SSRN Electronic Journal.
I derive a dynamic version of the Dornbusch “overshooting” model in which real yields and inflation vary stochastically, and the exchange rate (FX) delivers UIRP in expectations. Tests using the model provide support for the UIRP proposition. Sim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6443e6be879dc85fe0502cc47177104
https://doi.org/10.2139/ssrn.2401873
https://doi.org/10.2139/ssrn.2401873
Autor:
Mark J. Flannery, Aris Protopapadakis
Publikováno v:
SSRN Electronic Journal.
Empirical confirmation that the effect of macroeconomic fundamentals on exchange rates is economically important has been scarce. This paper employs a general GARCH specification with asymmetric responses to investigate the effect of 35 U.S. and Germ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0fd684d743d7bc0db785044d0b807f25
https://doi.org/10.2139/ssrn.2116608
https://doi.org/10.2139/ssrn.2116608
Autor:
Aris Protopapadakis, Simon Benninga
Publikováno v:
Journal of Monetary Economics. 25:49-58
We re-examine the Mehra and Prescott (1985) model. A combination of the time preference factor greater than one and reasonable leverage ratios in the equity market resolve the ‘equity premium puzzle’. Such parameter values can be consistent with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::732633f6f7e234e7ea0c9eed62f2e783
https://doi.org/10.1016/0304-3932(90)90044-5
https://doi.org/10.1016/0304-3932(90)90044-5
Autor:
Aris Protopapadakis, Igor Cialenco
Publikováno v:
SSRN Electronic Journal.
We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for fourteen developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::118a30912627101cc0c06837b8049069
https://doi.org/10.2139/ssrn.947589
https://doi.org/10.2139/ssrn.947589
Autor:
Roger Kormendi, Aris Protopapadakis
The recent reemergence of large U.S. government budget deficits has rekindled the debate as to whether deficits adversely impact real interest rates. The conventional “crowding out” hypothesis predicts that there would be such an adverse effect;
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::5bb869264a401515837463422a375268
http://econwpa.repec.org/eps/mac/papers/0404/0404010.pdf
http://econwpa.repec.org/eps/mac/papers/0404/0404010.pdf
Autor:
Roger C. Kormendi, Aris Protopapadakis
The recent reemergence of large U.S. government budget deficits has rekindled the debate as to whether deficits adversely impact real interest rates. The conventional “crowding out” hypothesis predicts that there would be such an adverse effect;
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::3300251b04e1792b2c073cf3b3bf6caf
http://econwpa.repec.org/eps/mac/papers/0403/0403010.pdf
http://econwpa.repec.org/eps/mac/papers/0403/0403010.pdf