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Modeling volatility spillovers between the variabilities of US inflation and output : the UECCC GARCH model

Conrad, Christian; Karanasos, Menelaos - 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/10003770689

The relationship between economic growth and real uncertainty in the G3

Fountas, Stilianos; Karanasos, Menelaos - In: Economic modelling 23 (2006) 4, pp. 638-647

Persistent link: https://www.econbiz.de/10003353913

On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data

Karanasos, Menelaos; Sekioua, S. H.; Zeng, N. - In: Economics letters 90 (2006) 2, pp. 163-169

Persistent link: https://www.econbiz.de/10003275737

Editor's introduction for the special issue of the Journal of Empirical Finance, on "asset pricing : methods and applications"

Conrad, Christian; Karanasos, Menelaos - In: Journal of empirical finance 29 (2014), pp. 1-2

Persistent link: https://www.econbiz.de/10011302567

Modeling the link between US inflation and output : the importance of the uncertainty channel

Conrad, Christian; Karanasos, Menelaos - 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...