Browsing by Subject "Generalized auto-regressive conditional heteroskedasticity"

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    Is there a flight to quality due to inflation uncertainty?
    (Elsevier BV, 2005) Guler, B.; Ozlale, U.
    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 results support the existence of a "flight to quality" effect. © 2004 Elsevier B.V. All rights reserved.