Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model
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- Ndoricimpa, Arcade, 2015. "Inflation, output growth and their uncertainties in South Africa: Empirical evidence from an asymmetric multivariate GARCH-M model," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 5-17.
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More about this item
KeywordsBivariate GARCH process; negative volatility feedback; inflation uncertainty; output variability;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-13 (All new papers)
- NEP-CBA-2008-10-13 (Central Banking)
- NEP-ETS-2008-10-13 (Econometric Time Series)
- NEP-MAC-2008-10-13 (Macroeconomics)
- NEP-MON-2008-10-13 (Monetary Economics)
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