II Long Memory GARCH Models: Applications 65
4 On the In ation-Uncertainty Hypothesis in the USA, Japan and
the UK 67
4 …:01{2000:12 . . . . . . . . . . . . . . . 78
4.4 Tests of USA fractional difierencing parameters . . . . . . . . . . . . . . 79
4.5 Granger-causality tests 1962 … ation and monthly data for the USA, Japan and the
1.2 Outline of the Thesis 9
UK for the period 1962{2000 to examine the …