Details about Menelaos Karanasos
Access statistics for papers by Menelaos Karanasos.
Last updated 2020-05-06. Update your information in the RePEc Author Service.
Short-id: pka228
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Working Papers
2017
- Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations
Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
2007
- Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896–2000
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (14)
2004
- Inflation, inflation uncertainty, and a common European Monetary Policy
Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (63)
See also Journal Article in Manchester School (2004)
- Modelling the Yield Curve: A Two Components Approach
Working Papers, Queen Mary University of London, School of Economics and Finance
2000
- A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (7)
Also in Discussion Papers, Department of Economics, University of York View citations (16)
1998
- 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
- 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 View citations (2)
Also in Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics (1996)
Undated
- Alternative GARCH in Mean Models: An Application to the Korean Stock Market
Discussion Papers, Department of Economics, University of York View citations (3)
- Cross-Sectional Aggregation and Persistence in Conditional Variance
Discussion Papers, Department of Economics, University of York View citations (4)
- Moments of the ARMA-EGARCH Model
Discussion Papers, Department of Economics, University of York 
See also Journal Article in Econometrics Journal (2003)
- Prediction in ARMA models with GARCH in Mean Effects
Discussion Papers, Department of Economics, University of York View citations (23)
- Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models
Discussion Papers, Department of Economics, University of York
- The Covariance Structure of Component and Multivariate Garch Models
Discussion Papers, Department of Economics, University of York
- The Covariance Structure of Mixed ARMA Models
Discussion Papers, Department of Economics, University of York View citations (2)
Also in Discussion Papers, Department of Economics, University of York View citations (2)
Journal Articles
2006
- A re-examination of the asymmetric power ARCH model
Journal of Empirical Finance, 2006, 13, (1), 113-128 View citations (32)
- 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 View citations (30)
- The impulse response function of the long memory GARCH process
Economics Letters, 2006, 90, (1), 34-41 View citations (14)
- The real exchange rate and the Purchasing Power Parity puzzle: further evidence
Applied Financial Economics, 2006, 16, (1-2), 199-211 View citations (3)
2005
- 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 View citations (66)
2004
- Inflation, Inflation Uncertainty and a Common European Monetary Policy
Manchester School, 2004, 72, (2), 221-242 View citations (53)
See also Working Paper (2004)
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
Journal of Time Series Analysis, 2004, 25, (2), 265-282 View citations (29)
- Output Variability and Economic Growth: the Japanese Case
Bulletin of Economic Research, 2004, 56, (4), 353-363 View citations (33)
2003
- Moments of the ARMA--EGARCH model
Econometrics Journal, 2003, 6, (1), 146-166 View citations (16)
See also Working Paper
2002
- Inflation and output growth uncertainty and their relationship with inflation and output growth
Economics Letters, 2002, 75, (3), 293-301 View citations (58)
1999
- The second moment and the autocovariance function of the squared errors of the GARCH model
Journal of Econometrics, 1999, 90, (1), 63-76 View citations (33)
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