Menelaos Karanasos

Brunel University London - Economics and Finance

Uxbridge UB8 3PH

United Kingdom

SCHOLARLY PAPERS

17

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CITATIONS
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38

Scholarly Papers (17)

Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market

William Davidson Institute Working Paper No. 935
Number of pages: 38 Posted: 07 Dec 2008
Sumon K. Bhaumik, Menelaos Karanasos and Aris Kartsaklas
Aston University - Aston Business School, Brunel University London - Economics and Finance and Brunel University London
Downloads 196 (153,704)
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derivatives trading, emerging markets, long-memory, range-based volatility, value of

Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market

William Davidson Institute Working Paper No. 935
Number of pages: 36 Posted: 19 Feb 2009
Sumon K. Bhaumik, Menelaos Karanasos and Aris Kartsaklas
Aston University - Aston Business School, Brunel University London - Economics and Finance and Brunel University London
Downloads 124 (227,069)
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derivatives trading, emerging markets, long-memory, range-based volatility, value of shares traded

2.

Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model

Econometric Theory, Forthcoming, KOF Working Papers No. 189
Number of pages: 26 Posted: 21 Mar 2008 Last Revised: 10 Feb 2009
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 180 (166,232)

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Inequality constraints, multivariate GARCH processes, volatility feedback

3.

Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

Scottish Journal of Political Economy, Forthcoming.
Number of pages: 27 Posted: 26 Nov 2010 Last Revised: 07 Aug 2014
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 143 (202,121)
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Bivariate GARCH Process, Volatility Feedback, Inflation Uncertainty, Output Variability

4.

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A Multi-Country Study

Journal of Empirical Finance, Forthcoming, University of Heidelberg Department of Economics Discussion Paper No. 472
Number of pages: 26 Posted: 31 Jul 2008 Last Revised: 04 May 2010
Christian Conrad, Menelaos Karanasos and Ning Zeng
Heidelberg University - Faculty of Economics and Social Studies, Brunel University London - Economics and Finance and Brunel University London
Downloads 143 (202,121)
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Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation

5.

Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach

Number of pages: 36 Posted: 29 Mar 2014
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras, University of Sussex -University of Sussex Business School, Aston University and Brunel University London
Downloads 114 (240,644)
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financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers

Two to Tangle: Financial Development, Political Instability and Economic Growth in Argentina (1896-2000)

IZA Discussion Paper No. 3752
Number of pages: 38 Posted: 19 Oct 2008
Nauro F. Campos, Menelaos Karanasos and Bin Tan
Brunel University London - Economics and Finance, Brunel University London - Economics and Finance and Brunel University London
Downloads 109 (249,808)
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economic growth, financial development, volatility, political instability, power-ARCH

Two to Tangle: Financial Development, Political Instability and Economic Growth in Argentina (1896-2000)

CEPR Discussion Paper No. DP7004
Number of pages: 39 Posted: 18 Dec 2008
Nauro F. Campos, Menelaos Karanasos and Bin Tan
Brunel University London - Economics and Finance, Brunel University London - Economics and Finance and Brunel University London
Downloads 3 (655,468)
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economic growth, financial development, political instability, power-ARCH, volatility

7.

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: The UECCC GARCH Model

University of Heidelberg Department of Economics Discussion Paper No. 475
Number of pages: 8 Posted: 05 Oct 2008
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 94 (274,535)
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Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability

8.

Is the Relationship between Inflation and its Uncertainty Linear?

Ruhr Economic Paper No. 18
Number of pages: 28 Posted: 06 Jul 2007
Menelaos Karanasos and Stefanie Schurer
Brunel University London - Economics and Finance and Victoria University of Wellington - School of Economics and Finance
Downloads 70 (327,582)
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GARCH-in-mean, Inflation, Level effect, Nominal uncertainty, Power transformation

9.

A Univariate Time Varying Analysis of Periodic ARMA Processes

Number of pages: 26 Posted: 21 Mar 2014 Last Revised: 22 Mar 2014
Menelaos Karanasos, Alexandros Paraskevopoulos and Stavros Dafnos
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras and Brunel University London - Department of Social Sciences, Media and Communications
Downloads 67 (335,437)
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covariance structure, homogeneous and particular solutions, optimal predictors, periodic ARMA models

Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896-2000

IZA Discussion Paper No. 3087, William Davidson Institute Working Paper No. 891
Number of pages: 11 Posted: 06 Nov 2007
Nauro F. Campos and Menelaos Karanasos
Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 55 (375,804)

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economic growth, volatility, political instability, power-ARCH

Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896-2000

CEPR Discussion Paper No. DP6524
Number of pages: 11 Posted: 05 Jun 2008
Nauro F. Campos and Menelaos Karanasos
Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
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economic growth, political instability, power-ARCH, volatility

11.

The Fundamental Properties of Time Varying AR Models with Non Stochastic Coefficients

Number of pages: 31 Posted: 21 Mar 2014
Menelaos Karanasos, Alexandros Paraskevopoulos and Stavros Dafnos
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras and Brunel University London - Department of Social Sciences, Media and Communications
Downloads 50 (386,259)
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abrupt breaks, covariance structure, cyclical processes, homogeneous and particular solutions, optimal predictors, periodic AR models

12.

From Riches to Rags, and Back? Institutional Change, Financial Development and Economic Growth in Argentina Since the 1890s

IZA Discussion Paper No. 8654
Number of pages: 34 Posted: 06 Dec 2014
Nauro F. Campos, Menelaos Karanasos and Bin Tan
Brunel University London - Economics and Finance, Brunel University London - Economics and Finance and Brunel University London
Downloads 41 (418,350)

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economic growth, financial development, volatility, institutions, political instability, power-GARCH

13.

Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility

Number of pages: 27 Posted: 17 Feb 2009
Menelaos Karanasos
Brunel University London - Economics and Finance
Downloads 39 (426,160)

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range-based volatility, financial crisis, foreign investors, long-memory, turnover volume

14.

Quantitative Easing and the UK Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

Economic Inquiry, Vol. 57, Issue 1, pp. 569-583, 2019
Number of pages: 15 Posted: 05 Dec 2018
University of Athens - Faculty of Economics, Brunel University London - Economics and Finance and Kingston University
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15.

Modelling the Link between Us Inflation and Output: The Importance of the Uncertainty Channel

Scottish Journal of Political Economy, Vol. 62, Issue 5, pp. 431-453, 2015
Number of pages: 23 Posted: 07 Oct 2015
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
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16.

On the Transmission of Memory in GARCH‐In‐Mean Models

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 706-720, 2015
Number of pages: 15 Posted: 28 Jul 2015
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests

17.

The Link between Macroeconomic Performance and Variability in the UK

Economics Letters, Vol. 106, No. 3, pp. 154-157, 2010
Posted: 15 Mar 2010 Last Revised: 04 May 2010
Christian Conrad, Menelaos Karanasos and Ning Zeng
Heidelberg University - Faculty of Economics and Social Studies, Brunel University London - Economics and Finance and Brunel University London

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Inflation, Macroeconomic performance, Output growth, Stochastic volatility