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Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan
Rizvi, Syed Kumail Abbas; Naqvi, Bushra - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, for further analysis of asymmetry and leverage effects, we developed news impact curves proposed by Pagan and … for Pakistani data. We get two important results. First, GJR-GARCH and EGARCH models are more successful in capturing …
Persistent link: https://www.econbiz.de/10008502746
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Inflation Volatility: An Asian Perspective
Rizvi, Syed Kumail Abbas; Naqvi, Bushra - Volkswirtschaftliche Fakultät, … - 2009
The primary purpose of this study is to model and analyze inflation volatility in ten selected Asian economies. We used quarterly data of inflation from 1987Q1 to 2008Q4 to model inflation volatility as time varying process through different symmetric and asymmetric GARCH specifications. We also...
Persistent link: https://www.econbiz.de/10008497650
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European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel
Francesco, Guidi - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …
Persistent link: https://www.econbiz.de/10005789602