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VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL
16 references·4 citing·27 second hop
VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL (2006)VELOCITY AND THE VARIABILITY OF MONEY GRO…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…The asymmetric effects of uncertainty on inflation and output growth (2004)The asymmetric effects of unc…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Consumer Theory and the Demand for Money (2000)Consumer Theory and the Deman…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests (1994)Approximate Asymptotic Distri…A Comparison of Unit-Root Test Criteria (1994)A Comparison of Unit-Root Tes…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Optimal Economic Uncertainty Index: A Grid Search Application (2013)The Optimal Economic Uncertai…THE CASE FOR DIVISIA MONEY TARGETING (2012)THE CASE FOR DIVISIA MONEY TA…Interest Rates, Leverage, and Money (2012)Interest Rates, Leverage, and…The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR (2008)The Output Effects of Money G…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Volatility forecast comparison using imperfect volatility proxies (2010)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
  • 1994Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests469 cited
  • 1994A Comparison of Unit-Root Test Criteria447 cited
  • 2004The asymmetric effects of uncertainty on inflation and output growth

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264 cited
  • 2000Consumer Theory and the Demand for Money197 cited
  • Cited by

    • 2012THE CASE FOR DIVISIA MONEY TARGETING26 cited
    • 2012Interest Rates, Leverage, and Money18 cited
    • 2013The Optimal Economic Uncertainty Index: A Grid Search Application16 cited
    • 2008The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR16 cited