This paper has been announced in the following NEP Reports:

• NEP-ALL-2000-07-11 (All new papers)
• NEP-ECM-2000-07-11 (Econometrics)
• NEP-ETS-2000-07-11 (Econometric Time Series)
• NEP-MON-2000-07-11 (Monetary Economics)

1. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May. [Downloadable!] (restricted)
2. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August. [Downloadable!] (restricted)
3. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June. [Downloadable!] (restricted)
4. Fischer, Stanley, 1981. "Towards an understanding of the costs of inflation: II," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 15(1), pages 5-41, January. [Downloadable!] (restricted)
5. Carrasco, M. & Chen, X., 1999. "B- Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models," Papers 9941, Institut National de la Statistique et des Etudes Economiques-.
6. Laurence Ball & Stephen G. Cecchetti, 1991. "Inflation and Uncertainty at Short and Long Horizons," NBER Reprints 1522, National Bureau of Economic Research, Inc.
7. Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May. [Downloadable!] (restricted)
8. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
   Other versions:
   • Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
9. Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 169-84, May. [Downloadable!] (restricted)
10. Hansson, Bjorn & Hordahl, Peter, 1997. " Changing Risk Premia: Evidence from a Small Open Economy," Scandinavian Journal of Economics, Blackwell Publishing, vol. 99(2), pages 335-50, June. [Downloadable!] (restricted)
11. Caporale, Tony & McKiernan, Barbara, 1996. "The Relationship between Output Variability and Growth: Evidence from Post War UK Data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(2), pages 229-36, May.
12. Cosimano, Thomas F & Jansen, Dennis W, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 409-21, August. [Downloadable!] (restricted)
13. Hall, S G, 1991. "An Application of the Stochastic GARCH-in-Mean Model to Risk Premia in the London Metal Exchange," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 59(0), pages 57-71, Supplemen.
14. Longstaff, Francis A & Schwartz, Eduardo S, 1992. " Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-82, September. [Downloadable!] (restricted)
15. Black, Angela & Fraser, Patricia, 1995. "U.K. Stock Returns: Predictability and Business Conditions," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 63(0), pages 85-102, Suppl..
16. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)
17. Ball, Laurence, 1992. "Why does high inflation raise inflation uncertainty?," Journal of Monetary Economics, Elsevier, vol. 29(3), pages 371-388, June. [Downloadable!] (restricted)
18. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
19. Davis, George K & Kanago, Bryce E, 2000. "The Level and Uncertainty of Inflation: Results from OECD Forecasts," Economic Inquiry, Oxford University Press, vol. 38(1), pages 58-72, January.
20. Menelaos Karanasos, . "Prediction in ARMA models with GARCH in Mean Effects," Discussion Papers 99/11, Department of Economics, University of York. [Downloadable!]
21. Fraser, Patricia, 1996. "UK Excess Share Returns: Firm Size and Volatility," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(1), pages 71-84, February.
22. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
2. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York. [Downloadable!]
   Other versions:
   • M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, 06. [Downloadable!] (restricted)
3. A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Economics and Finance Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
   Other versions:
   • A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Public Policy Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
   • Kontonikas, A., 2004. "Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling," Economic Modelling, Elsevier, vol. 21(3), pages 525-543, May. [Downloadable!] (restricted)
4. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
5. Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004. "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003 30, Money Macro and Finance Research Group. [Downloadable!]
   Other versions:
   • S. Fountas & A. Ioannidis & M. Karanasos, 2004. "Inflation, Inflation Uncertainty and a Common European Monetary Policy," Manchester School, University of Manchester, vol. 72(2), pages 221-242, 03. [Downloadable!] (restricted)
6. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York. [Downloadable!]
7. Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York. [Downloadable!]
   Other versions:
   • Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York. [Downloadable!]
8. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Banco de España Working Papers 0812, Banco de España. [Downloadable!]