Is there a flight to quality due to inflation uncertainty?

Simple item page
dc.citation.epage607en_US
dc.citation.issueNumber3-4en_US
dc.citation.spage603en_US
dc.citation.volumeNumber345en_US
dc.contributor.authorGuler, B.en_US
dc.contributor.authorOzlale, U.en_US
dc.date.accessioned2016-02-08T10:24:29Z
dc.date.available2016-02-08T10:24:29Z
dc.date.issued2005en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractAfter 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:24:29Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2005en
dc.identifier.doi10.1016/j.physa.2004.07.038en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24126
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2004.07.038en_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.subjectFlight to quality effecten_US
dc.subjectGeneralized auto-regressive conditional heteroskedasticityen_US
dc.subjectKalman filteren_US
dc.subjectEconomic and social effectsen_US
dc.subjectError analysisen_US
dc.subjectImpulse testingen_US
dc.subjectKalman filteringen_US
dc.subjectParameter estimationen_US
dc.subjectRisk managementen_US
dc.subjectRobustness (control systems)en_US
dc.subjectInflation risk premiumen_US
dc.subjectTime varying networksen_US
dc.titleIs there a flight to quality due to inflation uncertainty?en_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Is there a flight to quality due to inflation uncertainty.pdf
Size:
167.5 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Scholarly Publications - Economics