In applied macroeconomics, I employ the GARCH methodology to investigate the causality relationship among nominal uncertainty, real uncertainty, and macroeconomic performance measured by the inflation and output growth rates. I also investigate the variability of inflation and output trade off, and I examine the relationship between economic growth and the variability of the business cycle. In addition, I analyze the inflation dynamics of several countries belonging to the European Monetary Union and I study the issue of temporal ordering of inflation and inflation uncertainty. Finally, I investigate whether the causality of interest rate spillovers runs from large economies to small ones rather than the other way and thus whether the fundamental principles of the stability and growth pact hold.
In empirical finance, I examine whether the effect of capital controls introduced by emerging countries around the financial crisis in 1997 affects the dynamic interaction between stock volume and stock volatility. I also analyze the applicability of power ARCH models to national stock market returns. Moreover, I study the role of long memory and asymmetries in predicting exchange rate volatility. Finally, I investigate the integration properties of monthly US real interest rates.
In theoretical econometrics, my work revolves around the statistical properties of long memory stochastic volatility models, and the autocorrelation function of exponential autoregressive conditional duration models.
In mathematical finance, I provide a closed form solution for the equilibrium yield curve in the special case where the interest rate is given by a mixture of autoregressive and random walk processes.
