Pittis Nikitas

Nikitas Pittis

Information about the author Nikitas Pittis will soon be added to the site.
Found 3 papers in total
Factor Models of Stock Returns: GARCH Errors versus Time-Varying Betas
Factor Models of Stock Returns: GARCH Errors versus Time-Varying Betas
2016
This paper investigates the implications of time‐varying betas in factor models...
Unit roots versus other types of time heterogeneity, parameter time dependence and superexogeneity
Unit roots versus other types of time heterogeneity, parameter time dependence and superexogeneity
2002
This paper stresses the restrictive nature of the standard unit root/cointegration...
Causality and forecasting in incomplete systems
Causality and forecasting in incomplete systems
1997
In this paper, we examine how causality inference and forecasting within a bivariate...
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