This study examines the dynamic relationship between inflation, inflation uncertainty, and economic performance in Mexico using the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) and bivariate GARCH-in-mean (BGARCH-M) models. Based on monthly data from 1995 to 2019,...

This study examines the dynamic relationship between inflation, inflation uncertainty, and economic performance in Mexico using the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) and bivariate GARCH-in-mean (BGARCH-M) models. Based on monthly data from 1995 to 2019,...

This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting...