We consider time series models in which the conditional mean of the response variable given thepast depends on latent covariates. We assume that the covariates can be estimated consistentlyand use an iterative nonparametric kernel smoothing procedure for estimating the conditional meanfunction....

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulationof Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding,Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant...

Die in den letzten Jahren stark gestiegene Inflation beschäftigt nicht nur die Währungshüter, sondern beunruhigt auch Verbraucher:innen und Politik. Der Europäischen Zentralbank wird vorgeworfen, mit ihren Inflationsprognosen in den Jahren 2021 und 2022 die tatsächliche Entwicklung deutlich...

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2010) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

In this study, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving unconditional variance component of inflation in the framework...

We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly timevarying long-term component which is driven by the dynamics of a...

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...