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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

Moments of the ARMA-EGARCH model

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

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

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output : The UECCC GARCH Model

Conrad, Christian - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

Persistent link: https://www.econbiz.de/10012723007

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

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

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

Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944