Liu, Jinan; Serletis, Apostolos - In: Journal of Economic Studies 49 (2021) 1, pp. 159-184
Purpose: To investigate the complex relationship between inflation, inflation uncertainty and equity returns. Design/methodology/approach: This paper uses a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model to investigate the relationship between inflation, inflation uncertainty and equity...