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The Impulse Response Function of the Long Memory GARCH Process

Conrad, Christian; Karanasos, Menelaos - 2006

In this article we derive convenient representations for the cumulative impulse response function of the long memory GARCH(p,d,q) (LMGARCH) process. Our results extend the results in Baillie et al. (1996) on the first order LMGARCH. Using the derived impulse response functions we compare the...

Persistent link: https://www.econbiz.de/10014055994

A new method for obtaining the autocovariance of an ARMA model : an exact form solution

Karanasos, Menelaos - In: Econometric theory 14 (1998) 5, pp. 622-640

Persistent link: https://www.econbiz.de/10001381129

A new method for obtaining the autocovariance of an ARMA model : an exact-form solution

Karanasos, Menelaos - 1996

Persistent link: https://www.econbiz.de/10000945555

Prediction in ARMA models with GARCH in mean effects

Karanasos, Menelaos - 1999

Persistent link: https://www.econbiz.de/10001435068

Financial volatility modeling with option-implied information and important macro-factors

Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149

Persistent link: https://www.econbiz.de/10013532426

A three-dimensional asymmetric power HEAVY model

Yfanti, Stavroula; Chortareas, Georgios E.; Karanasos, … - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 2737-2761

Persistent link: https://www.econbiz.de/10013329825

Long run dependencies in stock volatility and trading volume

Kartsaklas, Aris; Karanasos, Menelaos - 2013

Persistent link: https://www.econbiz.de/10009767839

On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data

Karanasos, Menelaos; Sekioua, S. H.; Zeng, N. - In: Economics letters 90 (2006) 2, pp. 163-169

Persistent link: https://www.econbiz.de/10003275737

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

Inflation convergence in the EMU

Karanasos, Menelaos; Koutroumpis, P.; Karavias, Y.; … - In: Journal of empirical finance 39 (2016), pp. 241-253

Persistent link: https://www.econbiz.de/10011664324

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