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 allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal...