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~person:"Karanasos, Menelaos"
~subject:"Bivariate GARCH process"
~subject:"volatility feedback"
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Bivariate GARCH process
volatility feedback
ARCH-Modell
47
ARCH model
44
Inflation
21
Volatilität
20
Risiko
16
Theorie
16
Volatility
16
Schätzung
15
Theory
15
Risk
13
Wirtschaftswachstum
13
Economic growth
12
Estimation
12
USA
12
United States
10
Konjunktur
9
Bruttoinlandsprodukt
8
Gross domestic product
8
Korrelation
8
Business cycle
7
Correlation
7
Spillover-Effekt
7
Capital income
6
Kapitaleinkommen
6
Spillover effect
6
inflation uncertainty
6
output variability
6
ARMA model
5
ARMA-Modell
5
Börsenkurs
5
Financial crisis
5
Inflationserwartung
5
Share price
5
Structural breaks
5
Time series analysis
5
Zeitreihenanalyse
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Aktienmarkt
4
Estimation theory
4
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8
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Working Paper
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English
6
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2
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Karanasos, Menelaos
Conrad, Christian
9
Christensen, Bent Jesper
4
Nielsen, Morten Ørregaard
4
Zhu, Jie
4
Baur, Dirk G.
1
Dimpfl, Thomas
1
Dwarika, Nitesha
1
Huang, Zhuo
1
Karanasos, Menelaos G.
1
Liu, Hao
1
Shen, Shihan
1
Vafiadis, Nikolaos
1
Wang, Jianxin
1
Wang, Tianyi
1
Yang, Minxian
1
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
2
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
1
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Discussion Paper Series
2
Discussion paper series / University of Heidelberg, Department of Economics
2
Working Papers / Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
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KOF Working papers
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EconStor
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ECONIS (ZBW)
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1
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 …
Persistent link: https://www.econbiz.de/10008758143
Saved in:
2
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 …
Persistent link: https://www.econbiz.de/10003770689
Saved in:
3
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 …
Persistent link: https://www.econbiz.de/10011422216
Saved in:
4
Modeling the link between US inflation and output: the importance of the uncertainty channel
Conrad, Christian
;
Karanasos, Menelaos
-
Alfred-Weber-Institut für Wirtschaftswissenschaften, …
-
2010
This paper employs an augmented version of the UECCC
GARCH
specification proposed in Conrad and Karanasos (2010) which …
Persistent link: https://www.econbiz.de/10008741269
Saved in:
5
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 …
Persistent link: https://www.econbiz.de/10011422179
Saved in:
6
Negative volatility spillovers in the unrestricted ECCC-
GARCH
model
Conrad, Christian
;
Karanasos, Menelaos
-
2008
This paper considers a formulation of the extended constant or time-varying conditional correlation
GARCH
model which …
Persistent link: https://www.econbiz.de/10010277789
Saved in:
7
Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC
GARCH
Model
Conrad, Christian
;
Karanasos, Menelaos
-
Alfred-Weber-Institut für Wirtschaftswissenschaften, …
-
2008
This paper employs the unrestricted extended constant conditional correlation
GARCH
specification proposed in Conrad …
Persistent link: https://www.econbiz.de/10005453733
Saved in:
8
Negative Volatility Spillovers in the Unrestricted ECCC-
GARCH
Model
Conrad, Christian
;
Karanasos, Menelaos
-
KOF Swiss Economic Institute, Department of Management, …
-
2008
This paper considers a formulation of the extended constant or time-varying conditional correlation
GARCH
model which …
Persistent link: https://www.econbiz.de/10005731463
Saved in:
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