Nikitas Pittis

University of Piraeus - Department of Banking and Financial Management

80 Karaoli & Dimitriou Str.

18534 Piraeus, 185 34 -GR

Greece

SCHOLARLY PAPERS

14

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1,225

SSRN CITATIONS
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Top 41,880

in Total Papers Citations

3

CROSSREF CITATIONS

13

Scholarly Papers (14)

1.

Selectivity, Market Timing and the Morningstar Star-Rating System

CESifo Working Paper Series No. 2580, DIW Berlin Discussion Paper No. 874
Number of pages: 27 Posted: 16 Mar 2009
University of Piraeus - Department of Banking and Financial Management, Brunel University London - Department of Economics and Finance, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 528 (59,065)
Citation 2

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mutual fund, Morningstar Star-Rating System, CAPM, conditional and unconditional portfolio performance evaluation

2.

Sticky Prices and the Purchasing Power Parity Puzzle

Number of pages: 35 Posted: 02 Feb 2004
University of Piraeus - Department of Banking and Financial Management, Essex Business School, University of Kent and University of Piraeus - Department of Banking and Financial Management
Downloads 183 (185,564)
Citation 1

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Real exchange rate, persistence measures, nominal rigidities, VAR, impulse response

3.

Mixing Conditions, Central Limit Theorems and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences

Number of pages: 60 Posted: 22 Jan 2009
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 154 (215,127)
Citation 1

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Central limit theorem, Invariance Principle, mixing, trending variances, variance break

4.

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates

IIIS Discussion Paper No. 135
Number of pages: 34 Posted: 12 Aug 2006
University of Piraeus - Department of Banking and Financial Management, Essex Business School, University of Kent and University of Piraeus - Department of Banking and Financial Management
Downloads 93 (311,514)

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real exchange rate, persistence measures, VAR, impulse response function, PPP

5.

Persistence in Macroeconomic Time Series: Is it a Model Invariant Property?

Revista de Economia del Rosario, Vol. 4, No. 2, pp. 117-142, 2001
Number of pages: 26 Posted: 06 Sep 2006
Guglielmo Maria Caporale and Nikitas Pittis
Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Banking and Financial Management
Downloads 76 (351,963)

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Persistence, autocorrelation function, conditioning information set, probabilistic structure, dynamic models, Granger causality, cointegration

6.

Can Autoregressive Betas Account for the Statistical Properties of Stock Returns?

Number of pages: 27 Posted: 01 Jan 2010 Last Revised: 18 Mar 2010
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 71 (365,566)

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autoregressive beta, stock returns, single factor model, serial correlation, conditional heteroscedasticity

7.

Looking Far in the Past: Revisiting the Growth-Returns Nexus with Nonparametric Tests

IIIS Working Paper No. 134
Number of pages: 33 Posted: 10 Aug 2006 Last Revised: 23 Aug 2008
Essex Business School, University of Piraeus - Department of Banking and Financial Management and Athens University of Economics and Business - Department of International and European Economic Studies
Downloads 45 (453,275)
Citation 4

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real stock price changes, output growth, long-run covariance matrix

8.

Exogenity and Measures of Persistente

Revista de Economia del Rosario, Vol. 5, No. 1, 2002
Number of pages: 10 Posted: 06 Sep 2006
Guglielmo Maria Caporale and Nikitas Pittis
Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Banking and Financial Management
Downloads 26 (544,885)

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Persistence, weak exogeneity, autocorrelation function, conditioning information set, dynamic models, cointegration

9.

Estimation and Inference in Autoregressive Models with Trending Innovation Variance

Number of pages: 35 Posted: 26 Jan 2009
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 25 (551,050)
Citation 1

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polynomial-like noise variance, limiting distribution, order of variance growth, modified t-statistic, heteroscedasticity-robust t-statistic, variance decline

10.

A Comparison of Autoregressive Distributed Lag and Dynamic Ols Cointegration Estimators in the Case of a Serially Correlated Cointegration Error

Number of pages: 33 Posted: 14 Dec 2004
Ekaterini Panopoulou and Nikitas Pittis
Essex Business School and University of Piraeus - Department of Banking and Financial Management
Downloads 20 (582,917)
Citation 1
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11.

Long-Run PPP Under the Presence of Near-to-Unit Roots: The Case of the British Pound-US Dollar Rate

Review of International Economics, Vol. 17, Issue 1, pp. 144-155, February 2009
Number of pages: 12 Posted: 27 Apr 2009
University of Piraeus - Department of Banking and Financial Management, Athens University of Economics and Business - Department of International and European Economic Studies and University of Cyprus
Downloads 2 (714,215)
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12.

Testing for a Unit Root Under Errors with Just Barely Infinite Variance

Journal of Time Series Analysis, Vol. 29, Issue 6, pp. 1066-1087, November 2008
Number of pages: 22 Posted: 27 Oct 2008
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 2 (714,215)
Citation 1
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13.

Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections

Journal of Economic Surveys, Vol. 30, Issue 1, pp. 149-164, 2016
Number of pages: 16 Posted: 06 Jan 2016
Athens University of Economics and Business - Department of International and European Economic Studies, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
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Brownian motion, Explanatory model, Market efficiency, Scientific explanation, Statistical model, Stock returns

14.

The Bds Test as a Test for the Adequacy of a Garch(1,1) Specification: A Monte Carlo Study

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 282-309, Spring 2005
Posted: 29 Feb 2008
Brunel University London - Department of Economics and Finance, Dalhousie University - Department of Economics, University of Kent and University of Piraeus - Department of Banking and Financial Management

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BDS test, GARCH(1,1) model, nuisance-parameter free property, QML estimator