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Conditional Heteroskedasticity and Cross-Sectional Dependence in Panel Data: An Empirical Study of Inflation Uncertainty in the G7 countries

In: Panel Data Econometrics Theoretical Contributions and Empirical Applications

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  • Rodolfo Cermeño
  • Kevin B. Grier

Abstract

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Suggested Citation

  • Rodolfo Cermeño & Kevin B. Grier, 2006. "Conditional Heteroskedasticity and Cross-Sectional Dependence in Panel Data: An Empirical Study of Inflation Uncertainty in the G7 countries," Contributions to Economic Analysis, in: Panel Data Econometrics Theoretical Contributions and Empirical Applications, pages 259-277, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:ceazzz:s0573-8555(06)74010-x
    DOI: 10.1016/S0573-8555(06)74010-X
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    Cited by:

    1. Apergis, Nicholas, 2023. "Religion groups and portfolio choice decisions: Evidence from UK households," Finance Research Letters, Elsevier, vol. 54(C).
    2. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    3. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
    4. Mamman, Suleiman O. & Wang, Zhanqin & Iliyasu, Jamilu, 2023. "Commonality in BRICS stock markets’ reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence," Finance Research Letters, Elsevier, vol. 55(PA).

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