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Karanasos, Menelaos; Kim, Jinki - In: The econometrics journal 6 (2003) 1, pp. 146-166

Persistent link: https://www.econbiz.de/10001781052

Matrix inequality constraints for vector (asymmetric power) GARCH/HEAVY models and MEM with spillovers : some new (mixture) formulations

Karanasos, Menelaos; Xu, Yongdeng - 2017

In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...

Persistent link: https://www.econbiz.de/10011759653

Inflation convergence in the EMU

Karanasos, Menelaos; Koutroumpis, P.; Karavias, Y.; … - In: Journal of empirical finance 39 (2016), pp. 241-253

Persistent link: https://www.econbiz.de/10011664324

Dynamic portfolio allocation with time-varying jump risk

Zhou, Chunyang; Wu, Chongfeng; Wang, Yudong - In: Journal of empirical finance 50 (2019), pp. 113-124

Persistent link: https://www.econbiz.de/10012169946

Momentum of return predictability

Wang, Yudong; Liu, Li; Ma, Feng; Diao, Xundi - In: Journal of empirical finance 45 (2018), pp. 141-156

Persistent link: https://www.econbiz.de/10012102447

Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10009301149