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

Working Papers

2017

1. 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

2. Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896–2000
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (13)

2004

3. 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)
4. Modelling the Yield Curve: A Two Components Approach
   Working Papers, Queen Mary University of London, School of Economics and Finance

2000

5. 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

6. 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

7. 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

8. Alternative GARCH in Mean Models: An Application to the Korean Stock Market
   Discussion Papers, Department of Economics, University of York View citations (3)
9. Cross-Sectional Aggregation and Persistence in Conditional Variance
   Discussion Papers, Department of Economics, University of York View citations (4)
10. Moments of the ARMA-EGARCH Model
    Discussion Papers, Department of Economics, University of York
    See also Journal Article in Econometrics Journal (2003)
11. Prediction in ARMA models with GARCH in Mean Effects
    Discussion Papers, Department of Economics, University of York View citations (23)
12. Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models
    Discussion Papers, Department of Economics, University of York
13. The Covariance Structure of Component and Multivariate Garch Models
    Discussion Papers, Department of Economics, University of York
14. 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

1. A re-examination of the asymmetric power ARCH model
   Journal of Empirical Finance, 2006, 13, (1), 113-128 View citations (32)
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 View citations (30)
3. The impulse response function of the long memory GARCH process
   Economics Letters, 2006, 90, (1), 34-41 View citations (14)
4. 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

5. 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

6. Inflation, Inflation Uncertainty and a Common European Monetary Policy
   Manchester School, 2004, 72, (2), 221-242 View citations (53)
   See also Working Paper (2004)
7. On the Autocorrelation Properties of Long‐Memory GARCH Processes
   Journal of Time Series Analysis, 2004, 25, (2), 265-282 View citations (29)
8. Output Variability and Economic Growth: the Japanese Case
   Bulletin of Economic Research, 2004, 56, (4), 353-363 View citations (33)

2003

9. Moments of the ARMA--EGARCH model
   Econometrics Journal, 2003, 6, (1), 146-166 View citations (16)
   See also Working Paper

2002

10. Inflation and output growth uncertainty and their relationship with inflation and output growth
    Economics Letters, 2002, 75, (3), 293-301 View citations (58)

1999

11. 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)