Browsing by Keywords "Generalized auto-regressive conditional heteroskedasticity"

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    • Is there a flight to quality due to inflation uncertainty? 

      Guler, B.; Ozlale, U. (Elsevier BV, 2005)
      After two types of inflation uncertainty are derived within a time-varying parameter model with GARCH specification, the relationship between inflation uncertainty and interest rates for safe assets is investigated. The ...