Publications: 

Papers submitted for publication: 

and N Campos, B Tan. " Two to tangle: financial development, political instability and economic growth in Argentina (1896-2000) ".

and C Conrad. " Modeling volatility spillovers between the variabilities of US inflation and output: the UECCC GARCH model ".

and S Bhaumik, A Kartsaklas. " Derivatives trading and the volume-volatility link in the Indian stock market ".

Papers under revision: 

and C Kyrtsou. "Analyzing the link between stock volatility and volume by a Mackey-Glass GARCH-type model: the case of Korea" (revision under preparation).

and J Kim. "An assessment of the interlinkages between the variance of inflation and output growth variability in the G7 economies"  (revision under preparation).

Papers forthcoming: 

2010

Papers published: 

 2009

and A Kartsaklas. "Dual long-memory, structural breaks and the link between turnover and the range based volatility" Journal of Empirical Finance , 2008, 16, 836-851. JEF09.pdf

2008

"The statistical properties of Exponential ACD models", Quantitative and Qualitative Analysis in Social Sciences , 2008, 2(1), 29-49. QASS(08).pdf

and S Schurer. "Is the relationship between inflation and its uncertainty linear?" German Economic Review. GER(08).pdf

and S Fountas. "Are economic growth and the variability of the business cycle related ? Evidence from five European countries" International Economic Journal. IEJ(08).pdf

2007

and S Fountas. "Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7", Journal of International Money and Finance, 2007, 26, 229-250. JIMF(07).pdf 

{Cited by Hamilton in Macroeconomics and ARCH: JHamiltonEngle.pdf}

"The covariance structure of some financial time series models", Quantitative and Qualitative Analysis in Social Sciences, 2007, 1(2), 71-87. QASS(07).pdf

2006

and S Fountas, J Kim. "Inflation uncertainty, output growth uncertainty, and macroeconomic performance ", Oxford Bulletin of Economics and Statistics, 2006,68(3), 319-343.OBES(06).pdf

{Cited by Ponomareva:PonomarevaCJE10.pdf }

and J Kim. "A re-examination of the asymmetric power ARCH model", Journal of Empirical Finance , 2006, 13(1), 113-128. JEF(06).pdf

{Cited by Booth: BoothJEF08.pdf }

and C Conrad. "The impulse response function of the long memory GARCH model" , Economics Letters, 2006, 90, 34-41. EL(06).pdf

{Cited by Bollerslev in the Glossary to ARCH (GARCH): GlossaryBollerslev.pdf}

and S Sekioua, N Zeng. "On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data", Economics Letters, 2006, 90, 163-169. EL1(06).pdf

{Cited by Rapach in Federal Reserve bank of St. Louis ReviewRapach08.pdf }

and S Sekioua. "The real exchange rate and the purchasing power parity puzzle: Further evidence", Applied Financial Economics, 2006, 16, 199-211. AFE(06).pdf

and S Fountas. "The relationship between economic growth and real uncertainty in the G3", Economic Modelling, 2006, 23, 638-647.   EM(06).pdf

{Cited by Lee: LeeEL10.pdf }

2005

and C Conrad. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory  approach", Japan and the World Economy , 2005, 17, 327-343. JWE(05).pdf

{Top Cited Article: (Top 10 cited articles published in the last five years in Japan and the World Economy)
Extracted from Scopus (on Fri Jan 29 02:57:26 GMT 2010)}

and A Kartsaklas, J Kim. "The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997" .  Asia-Pacific Financial Markets, 2005, 12, 245-271. APFM(05).pdf

and C Conrad. "Dual long memory in inflation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance", Studies in Nonlinear Dynamics and Econometrics, 2005, 9 (4). SNDE(05).pdf

and J Kim. "The inflation-output variability relationship in the G3: a bivariate GARCH(BEKK)  approach", Risk Letters, 2005, 1, 17-22.RL(05).pdf

and S Schurer. "Is the reduction in output growth related to the increase in its uncertainty? The case of Italy", WSEAS Transactions on Business and Economics , 2005, . WSEASBE(05).pdf

2004

and Z Psaradakis, M Sola. "On the autocorrelation properties of long memory GARCH processes", Journal of Time Series Analysis, 2004, 25, 265-281. JTSA(04).pdf

{Cited by Ruiz: RuizCSDA09.pdf ; Baillie: BaiilieJEDC09.pdf; Conrad: ConradJFE06.pdf }

A photo of the three authors of the above paper: Me (left), Prof. Psaradakis (middle), Prof. Sola (right) Photo

and S Fountas, A Ioannidi. "Inflation, inflation uncertainty and implications for a common European monetary policy", The Manchester School , 2004, 72(2), 221-242. MS(04).pdf

{Cited by Caporale: CaporaleJIMF09.pdf ;Lahiri: LahiriJAE06.pdf }

and S Fountas, A Mendoza. "Output variability and economic growth: the Japanese case", Bulletin of Economic Research, 56(4), 353-363. BER(04).pdf

and C Conrad. "The impulse response weights of long memory ACD models", WSEAS Transactions on Mathematics, 3(3), 681-685.

"The statistical properties of long-memory ACD models", WSEAS Transactions on Business and Economics, 2004, 2(1), 169-175. WSEASBE1(04).pdf

and J Hatgioannides, M Karanassou. "Permanent and transitory components in a continuous time model of the term structure", WSEAS Transactions on Business and Economics, 2004, 2(1), 176-181. WSEASBE2(04).pdf

and M Karanassou,  S Fountas. "Analyzing US inflation by a GARCH model with simultaneous feedback", WSEAS Transactions on Information Science and Application, 2004, 1(2), 767-772.WSEASIS04.pdf

and A. Kartsaklas. "The stock volatility-volume relation in France". IASME Transactions, 2004, 1(4), 659-664.IASME(04).pdf

2003

and J Kim. "Moments of the ARMA-EGARCH model", Econometrics Journal, 2003, 6(1), 146-166. EJ(03).pdf

and C Alexiou, M Karanassou. "Stability pact and interest rate spillovers: evidence from two EU countries",  Political Economy, 2003, 13, 31-55. PE(03).pdf

2002

and S Fountas, J Kim. "Inflation and output growth uncertainty and their relationship with inflation and output growth", Economics Letters, 2002, 75, 293-301. EL(02).pdf

2001

"Prediction in ARMA models with GARCH in mean effects", Journal of Time Series Analysis, 2001, 22(5), 555-576. JTSA(01).pdf

1999

"The second moment and the autocovariance function of the squared errors of the GARCH model", Journal of Econometrics, 1999, 90, 63-76. JE(99).pdf

{Cited by Terasvirta: TerasvirtaET04.pdf; Zaffaroni: ZaffaroniET04.pdf; Davidson: DavidsonJBES04.pdf; McAleer: McAleerJE02.pdf; Giraitis: GiraitisSPA02.pdf }

1998

"A new method for obtaining the autocovariance of an ARMA model: an exact form solution", Econometric Theory, 1998, 14, 622-640. ET(98).pdf

{Cited by P.C.B. Phillips in Econometric Theory: Phillips08.pdf}

Work in Progress: 

and N Campos, B Tan. " From riches to rags, and back? explaining the growth trajectory of Argentina since the 1890s ".

and A Kartsaklas. " Long run dependencies in stock volatility and trading volume: the Korean experience".

and N Zeng. "UK inflation, output growth and their uncertainties: four variables, twelve links and many specifications".

And N Campos, M Karoglou. " Apocalypse now, apocalypse then: economic growth¸ structural breaks and Argentina (1886-2003) ".

Unpublished Papers:

and J Kim. "The link between the variability of inflation and of output and the transition from the high inflation of the sixties and seventies to an era of low inflation during the 1980s and 1990s".

and C Conrad, F. Jiang. "Modelling and predicting exchange rate volatility via power ARCH models: the role of long memory".

and J Kim. "The relationship between inflation uncertainty and output growth uncertainty in the USA, Japan and Germany".

and J Hatgioannides, M Karanassou. " Modelling the yield curve: a two components approach".