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~person:"Karanasos, Menelaos"
~source:"repec"
~subject:"Correlation"
~subject:"Theorie"
~subject:"volatility feedback"
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Correlation
Theorie
volatility feedback
GARCH
3
Inflation
3
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3
Autocovariance Generating Function
2
Bivariate GARCH process
2
GARCH-M
2
inflation uncertainty
2
output growth uncertainty
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Granger-causality GARCH
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Persistence in Volatility
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Stock Returns
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Structural breaks
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Time varying GARCH models
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multivariate GARCH processes
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Karanasos, Menelaos
Becker, Christoph
2
Christensen, Bent Jesper
2
Conrad, Christian
2
Nielsen, Morten Ørregaard
2
Schmidt, Wolfgang M.
2
Zhu, Jie
2
Case, Bradford
1
Chen, Xiaohong
1
Fan, Yanqin
1
Ibrahim, Muhammad
1
Kamaruzdin, Thaqif
1
Liow, Kim
1
Masih, Mansur
1
Patton, Andrew J.
1
Pelagatti, Matteo
1
Rondena, Stefania
1
Schroeder, Gerhard
1
Wang, Jianxin
1
Yang, Minxian
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Yang, Yawei
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
1
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
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ECONIS (ZBW)
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Modeling the link between US inflation and output: the importance of the uncertainty channel
Conrad, Christian
;
Karanasos, Menelaos
-
Alfred-Weber-Institut für Wirtschaftswissenschaften, …
-
2010
This paper employs an augmented version of the UECCC
GARCH
specification proposed in Conrad and Karanasos (2010) which …
Persistent link: https://www.econbiz.de/10008741269
Saved in:
2
Negative Volatility Spillovers in the Unrestricted ECCC-
GARCH
Model
Conrad, Christian
;
Karanasos, Menelaos
-
KOF Swiss Economic Institute, Department of Management, …
-
2008
This paper considers a formulation of the extended constant or time-varying conditional correlation
GARCH
model which …
Persistent link: https://www.econbiz.de/10005731463
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