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Details about Menelaos Karanasos

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Homepage:http://www.karanasos.com

Access statistics for papers by Menelaos Karanasos.

Last updated 2009-04-07. Update your information in the RePEc Author Service.

Short-id: pka228


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Working Papers

2007

  1. Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896–2000
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (5)

2004

  1. Inflation, inflation uncertainty, and a common European Monetary Policy
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads View citations (39)
    See also Journal Article in Manchester School (2004)
  2. Modelling the Yield Curve: A Two Components Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads

2000

  1. A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)
    Also in Discussion Papers, Department of Economics, University of York Downloads View citations (16)

1998

  1. The 2nd Moment and the Autocovariance function of the Squared Errors of the GARCH Model
    Keele Department of Economics Discussion Papers (1995-2001), Department of Economics, Keele University

1997

  1. A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution
    Keele Department of Economics Discussion Papers (1995-2001), Department of Economics, Keele University
    Also in Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics (1996)

Undated

  1. Alternative GARCH in Mean Models: An Application to the Korean Stock Market
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
  2. Cross-Sectional Aggregation and Persistence in Conditional Variance
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)
  3. Moments of the ARMA-EGARCH Model
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Econometrics Journal (2003)
  4. Prediction in ARMA models with GARCH in Mean Effects
    Discussion Papers, Department of Economics, University of York Downloads View citations (13)
  5. Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models
    Discussion Papers, Department of Economics, University of York Downloads
  6. The Covariance Structure of Component and Multivariate Garch Models
    Discussion Papers, Department of Economics, University of York Downloads
  7. The Covariance Structure of Mixed ARMA Models
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
    Also in Discussion Papers, Department of Economics, University of York Downloads View citations (2)

Journal Articles

2006

  1. A re-examination of the asymmetric power ARCH model
    Journal of Empirical Finance, 2006, 13, (1), 113-128 Downloads View citations (23)
  2. On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data
    Economics Letters, 2006, 90, (2), 163-169 Downloads View citations (26)
  3. The impulse response function of the long memory GARCH process
    Economics Letters, 2006, 90, (1), 34-41 Downloads View citations (8)
  4. The real exchange rate and the Purchasing Power Parity puzzle: further evidence
    Applied Financial Economics, 2006, 16, (1-2), 199-211 Downloads View citations (1)

2005

  1. On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach
    Japan and the World Economy, 2005, 17, (3), 327-343 Downloads View citations (43)

2004

  1. Inflation, Inflation Uncertainty and a Common European Monetary Policy
    Manchester School, 2004, 72, (2), 221-242 Downloads View citations (33)
    See also Working Paper (2004)
  2. On the Autocorrelation Properties of Long-Memory GARCH Processes
    Journal of Time Series Analysis, 2004, 25, (2), 265-282 Downloads View citations (18)
  3. Output Variability and Economic Growth: the Japanese Case
    Bulletin of Economic Research, 2004, 56, (4), 353-363 Downloads View citations (23)

2003

  1. Moments of the ARMA--EGARCH model
    Econometrics Journal, 2003, 6, (1), 146-166 Downloads View citations (4)
    See also Working Paper

2002

  1. Inflation and output growth uncertainty and their relationship with inflation and output growth
    Economics Letters, 2002, 75, (3), 293-301 Downloads View citations (38)

1999

  1. The second moment and the autocovariance function of the squared errors of the GARCH model
    Journal of Econometrics, 1999, 90, (1), 63-76 Downloads View citations (25)
 
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