Menelaos Karanasos

Brunel University London - Economics and Finance

Uxbridge UB8 3PH

United Kingdom

SCHOLARLY PAPERS

24

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34

CROSSREF CITATIONS

34

Scholarly Papers (24)

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
Institute for the Study of Labor (IZA)Aston University - Aston Business School, Brunel University London - Economics and Finance and Brunel University London
Downloads 211 (183,919)
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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
Institute for the Study of Labor (IZA)Aston University - Aston Business School, Brunel University London - Economics and Finance and Brunel University London
Downloads 130 (278,371)
Citation 1

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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 - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 187 (205,558)
Citation 3

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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 - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 149 (249,219)
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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 - Alfred Weber Institute for Economics, Brunel University London - Economics and Finance and Brunel University London
Downloads 148 (250,616)
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Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation

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

Number of pages: 38 Posted: 19 Oct 2008
Nauro F. Campos, Menelaos Karanasos and Bin Tan
University College London, Brunel University London - Economics and Finance and Brunel University London
Downloads 117 (300,990)
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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)

Number of pages: 39 Posted: 18 Dec 2008
Nauro F. Campos, Menelaos Karanasos and Bin Tan
University College London, Brunel University London - Economics and Finance and Brunel University London
Downloads 3 (813,853)
Citation 8
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economic growth, financial development, political instability, power-ARCH, volatility

6.

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, Aston University and Brunel University London
Downloads 118 (297,761)
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financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers

7.

Political Instability, Institutional Change and Economic Growth in Brazil Since 1870

Journal of Institutional Economics, 16(6), 883-910. doi:10.1017/S174413742000020X
Number of pages: 46 Posted: 14 May 2020 Last Revised: 22 Sep 2021
University College London, Brunel University London - Economics and Finance, Queen Mary University London and Independent Researcher
Downloads 111 (310,889)

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Economic Growth, Institutions, Political Instability, Power-ARCH, Volatility

8.

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange

Number of pages: 40 Posted: 20 Dec 2019
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance, Loughborough University and Brunel University London
Downloads 106 (323,003)

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financial crisis, foreign investors, individual investors, institutional investors, long memory, range-based volatility, structural change, trading volume

9.

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 - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 99 (335,743)
Citation 3

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Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability

10.

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 74 (400,365)
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GARCH-in-mean, Inflation, Level effect, Nominal uncertainty, Power transformation

11.

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 71 (409,603)
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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

Number of pages: 11 Posted: 06 Nov 2007
Nauro F. Campos and Menelaos Karanasos
University College London and Brunel University London - Economics and Finance
Downloads 66 (431,329)

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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

Number of pages: 11 Posted: 05 Jun 2008
Nauro F. Campos and Menelaos Karanasos
University College London and Brunel University London - Economics and Finance
Downloads 3 (813,853)
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economic growth, political instability, power-ARCH, volatility

13.

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

Number of pages: 51 Posted: 12 Jan 2020
Guglielmo Maria Caporale, Menelaos Karanasos and Stavroula Yfanti
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Loughborough University
Downloads 52 (476,999)

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asymmetries, economic policy uncertainty, HEAVY model, high-frequency data, macro-financial linkages, power transformations, realized variance, risk management

14.

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 52 (476,999)
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abrupt breaks, covariance structure, cyclical processes, homogeneous and particular solutions, optimal predictors, periodic AR models

15.

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

Number of pages: 34 Posted: 06 Dec 2014
Nauro F. Campos, Menelaos Karanasos and Bin Tan
University College London, Brunel University London - Economics and Finance and Brunel University London
Downloads 49 (489,316)

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

16.

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 41 (525,189)
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range-based volatility, financial crisis, foreign investors, long-memory, turnover volume

17.

A Unified Theory for ARMA Models With Varying Coefficients: One Solution Fits All

Number of pages: 44 Posted: 28 May 2020 Last Revised: 23 Sep 2021
Menelaos Karanasos
Brunel University London - Economics and Finance
Downloads 26 (607,938)

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ARMA Process, Asymptotic Stability, Asymptotic Efficiency

18.

Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients

EST Working Paper Series, University of Turin
Number of pages: 33 Posted: 12 Feb 2020
University of Turin, Brunel University London - Economics and Finance and The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras
Downloads 16 (678,475)

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Inflation persistence, GARCH-in Mean, structural breaks, Monte Carlo simulations, optimal forecasts

19.

Apocalypse Now, Apocalypse When? Economic Growth and Structural Breaks in Argentina (1886-2003)

Economics of Transition and Institutional Change, Forthcoming
Number of pages: 45 Posted: 28 Sep 2021
University College London, Brunel University London - Economics and Finance, Aston University, Queen Mary University London, Technical University of Crete (TUC) - Department of Production Engineering and Management and National and Kapodistrian University of Athens - Faculty of Economics
Downloads 15 (685,981)

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economic growth, structural breaks, Argentina

20.

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 EconomicsUnivesrity of Athens, Brunel University London - Economics and Finance and Kingston University
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21.

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 - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 0 (818,422)
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22.

Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures

International Review of Financial Analysis, Forthcoming
Number of pages: 34 Posted: 01 Oct 2015 Last Revised: 22 Sep 2021
Menelaos Karanasos, Faek Menla Ali, Zannis Margaronis and R. Nath
Brunel University London - Economics and Finance, University of Sussex, Brunel University London and Brunel University London
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Financial Crisis, Metal Futures, Structural Breaks, Time-Varying Volatility

23.

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 - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 0 (818,422)
Citation 1
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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests

24.

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 - Alfred Weber Institute for Economics, Brunel University London - Economics and Finance and Brunel University London

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Inflation, Macroeconomic performance, Output growth, Stochastic volatility