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Keywords: Bivariate VARMA
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2022) 49 (1): 159–184.
Published: 14 January 2021
...Jinan Liu; Apostolos Serletis Purpose To investigate the complex relationship between inflation, inflation uncertainty and equity returns. Design/methodology/approach This paper uses a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model to investigate the relationship between inflation...
