On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach
By Christian Conrad, Menelaos Karanasos. 2005
112 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0aae837cc9632981c2c50384b7d9cfaa9f04a481
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In Economics and Econometrics
- Menelaos Karanasos
- Stilianos Fountas
- Christian Conrad
- Berthold R. Haag
- James E. Payne
- Jinki Kim
- Muhammad Shahbaz
- Ilhan Ozturk
In Finance
Citations in the corpus
- Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7 (2007, methodology): “(2004a) and Conrad and Karanasos (2005a). In particular, Fountas et al. (2002) employ Japanese data (1961e1999) and a bivariate GARCH model (where inflation is measured by PPI) and find similar results to the PPI results of the present study. The only difference is lack of evidence for the Black hyp”
- Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance (2006, background): “The studies by Grier and Perry (1998), Henry and Olekalns (2002), Fountas, Ioannidis and Karanasos (2004a), Conrad and Karanasos (2005), and Karanasos and Kim (2005) focus almost exclusively on the empirical relationship between any of the following three: (i) inflation and inflation uncertainty, (i”
- Inequality Constraints in the Fractionally Integrated GARCH Model (2006, methodology): “Example 2 Conrad and Karanasos (2005b) estimate ARFIMA–FIGARCH models for the inflation rates of ten European countries.”
- Non-Negativity Conditions for the Hyperbolic GARCH Model (2010, unknown): “…of the fractional differencing parameter the FIGARCH proved to be successful in modeling the long-run features in the volatility of many time series such as 5 stock market returns, exchange rates and inflation (see e.g. Bollerslev and Mikkelsen, 1996, Tse, 1998, or Conrad and Karanasos, 2005).”
- Inflation and inflation uncertainty: evidence from the Caribbean region (2008, background): “for six European Union countries; Conrad and Karanasos (2005)”