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~person:"Karanasos, Menelaos"
~subject:"Capital income"
~subject:"volatility feedback"
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Search: subject:"GARCH"
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Capital income
volatility feedback
ARCH-Modell
47
ARCH model
44
Inflation
21
Volatilität
20
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16
Theorie
16
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16
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inflation uncertainty
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Karanasos, Menelaos
Gupta, Rangan
29
Engle, Robert F.
19
Caporale, Guglielmo Maria
18
Kumar, Dilip
18
McAleer, Michael
18
Ma, Feng
17
Bouri, Elie
16
Chiang, Thomas C.
16
Chang, Chia-Lin
14
Spagnolo, Nicola
14
Paolella, Marc S.
13
Bauwens, Luc
12
Elyasiani, Elyas
11
Floros, Christos
11
Teräsvirta, Timo
11
Zhu, Jie
11
Brooks, Robert
10
Conrad, Christian
10
Haas, Markus
10
Tiwari, Aviral Kumar
10
Zhang, Yaojie
10
Christensen, Bent Jesper
9
Huang, Zhuo
9
Koopman, Siem Jan
9
Ledoit, Olivier
9
Mansur, Iqbal
9
Nielsen, Morten Ørregaard
9
Spagnolo, Fabio
9
Wolf, Michael
9
Ardia, David
8
Bohl, Martin T.
8
Bollerslev, Tim
8
Hansen, Peter Reinhard
8
Li, Yan
8
Mittnik, Stefan
8
Prokopczuk, Marcel
8
Rodriguez, Gabriel
8
Wang, Yudong
8
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7
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
1
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
1
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Journal of empirical finance
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ECONIS (ZBW)
7
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1
Modelling Returns and Volatilities During Financial Crises : A Time Varying Coefficient Approach
Karanasos, Menelaos
-
2014
persistence in their corresponding conditional variances. Furthermore, the results of our bivariate
GARCH
models show the …
Persistent link: https://www.econbiz.de/10013056335
Saved in:
2
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos
;
Yfanti, Stavroula
;
Karoglou, Michail
- In:
International review of financial analysis
45
(
2016
),
pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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/10008758143
Saved in:
4
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos
;
Paraskevopoulos, Alexandros G.
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
Saved in:
5
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
-
2008
Tse (1998) proposes a model which combines the fractionally integrated
GARCH
formulation of Baillie, Bollerslev and …
Persistent link: https://www.econbiz.de/10003747371
Saved in:
6
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
Saved in:
7
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:
8
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:
9
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:
10
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:
1
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