Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10481341 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠Measures risk with stochastic volatility rather than conditional variance. ⺠Allow interaction between innovations in variable and variable itself over time. ⺠Evidence from US reveals that higher inflation volatility increases inflation.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
M. Hakan Berument, Yeliz Yalcin, Julide Yildirim,