This paper investigates the nonlinear risk transmission from the oil and natural gas markets to the foreign exchange markets of five energy importers and one major energy exporter. We separate conditional volatility into the transitory (short-term) and permanent (long-term) parts, and then these...

This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation...

This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation...