Bergheimer Strasse 58
University of Heidelberg - Faculty of Economics and Social Studies
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Volatility Components, GARCH-MIDAS, Survey Data, Macro Finance Link
Central bank communication, exchange rate, expectations, long memory GARCH processes, monetary policy announcements, Taylor rules.
Oil-stock relationship, long-term volatility, long-term correlation, GARCH-MIDAS, DCC-MIDAS
Inequality constraints, fractional integration, long memory GARCH processes
Inequality constraints, multivariate GARCH processes, volatility feedback
Specification test, GARCH-M, semiparametric regression, risk premium, ICAPM
Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation
Bivariate GARCH Process, Volatility Feedback, Inflation Uncertainty, Output Variability
Political statements, high-frequency response, austerity measures, joint liability
Multivariate GARCH, spillover, persistence, small and large firms
inflation persistence, Great Moderation, monetary policy, New Keynesian model, Taylor rule
EU ETS, EUA, Second NAPs, Announcement Effects, Price Formation, Long Memory
EU ETS, EUA, Announcement Effects, Price Formation, Long Memory
Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability
Variance risk premium, return predictability, VIX, GARCH-MIDAS, economic uncertainty, vol-of-vol
EU ETS, Price Formation, European Union Allowance (EUA), European Commission
GARCH-in-Mean, stochastic recurrence equations, risk-return relationship
GARCH-MIDAS, LM test, Long-term Volatility, Volatility Component Models
Inflation uncertainty, Central banking, Spline-GARCH
stock-bond correlation, DCC, DCC-MIDAS, survey data, macro expectations, forecasting, portfolio choice, asset allocation
Forecast evaluation, GARCH-MIDAS, Mincer-Zarnowitz regression, volatility persistence, volatility component model, long-term volatility
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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests
Inflation, Macroeconomic performance, Output growth, Stochastic volatility
inequality constraints, long-memory and fractionally integrated GARCH processes
Central bank independence, dual long memory, Euro area, Granger-causality tests, macroeconomic performance, monetary policy
Inflation, Nominal uncertainty, Dual long memory, Granger-causality
Cumulative impulse response function, long memory GARCH process
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