Multivariate GARCH models and an application: The effect of uncertainty on inflation and output growth in Turkey
2005
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Advisor: Prof.dr. Altan Çabuk
Abstract (EN)
The aim of this study is to investigate multivariate GARCH models, theirstatistical properties and methods of estimation; to test different arguments onthe effects of inflation and output uncertainties on both inflation rate and output(growth) for Turkey by using these models. The obtained results indicate thatinflation uncertainty leads to a rise in inflation and the output uncertainty causesa decline in it while the output is not affected by the uncertainties.Keywords: Volatility, Multivariate GARCH, Uncertainty, Inflation, OutputGrowth
Author
Fela Özbey
How to Cite
Fela Özbey (Master Thesis). Multivariate GARCH models and an application: The effect of uncertainty on inflation and output growth in Turkey, 2005, Çukurova University.
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