Menelaos Karanasos

Professor of Financial Economics
Economics and Finance

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Room: Marie Jahoda Room 269
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Tel: +44 (0)1895 265284
Email: menelaos.karanasos@brunel.ac.uk

Biography

Qualifications

  • PhD Financial Economics (University of London)
  • MSc Economics (University of London)
  • BSc Economics (Athens University of Economics and Business)

Personal Biography

I completed my PhD in 1997. I joined Keele University as a Lecturer in Financial Economics in September 1996. From 1997 - 2004 I was a Lecturer in Financial Economics at the University of York. I was appointed Professor of Financial Economics at Newcastle University in September 2004. I moved to Brunel in September 2005.

Research

Research Overview

I consider myself a quantitative macro/financial economist. My research interests are quite wide and I enjoy collaborating with other academics. My research focuses on: i) stock volatility and its volume, ii) commodity prices, iii) finance and growth, iv) macroeconomic uncertainty, v) models with time-varying coefficients, vi) mutual funds, and vi) transmission of memory.

 

Current Projects

The short- and long-run effects of financial development and political instability on growth
Joint project with Prof. N. Campos and Dr. Bin Tan

The significance of rollover over a range of commodities in different markets and the stochastic behaviour of commodity prices during the recent financial crisis
Joint project with Dr. R. Nath

The time series properties of stochastic processes with time-varying coefficients
Joint project with Dr. A. Paraskevolpoulos

A study of mutual fund flow and market returns
Joint project with Dr. A. Kartsaklas

The inflation persistence and the transmission of memory in stochastic volatility models
Joint project with Prof. C. Conrad

 

Recently Completed Projects

The link between macroeconomic performance and variability
Joint project with Prof. C. Conrad

The dynamics of stock volatility and volume
Joint project with Dr. A. Kartsaklas

The relation between political instability and growth
Joint project with Prof. N. Campos

 

PhD Supervision

Stavroula Yfanti: Non-linear time series models with applicatons to economics and finance; 2007 – (part time)

Zihui Zhang: Analysis of Brazil’s economy; 2008 -

Maher Alliwa: Modelling inflation uncertainty; 2010 -

Hayan Omran: A study of aggregate mutual fund flows; 2011 -

Stavros Dafnos: Four essays in finance and accounting; 2011 - (part time)

Zannis Margaronis: The significance of rollover in commodity returns; 2011 –

Teaching

Postgraduate Programmes

Programme convenor

  • Director of all MSc programmes

Module convenor

  • Modelling Financial Decisions and Markets
  • Derivative Securities
  • Introduction to Quantitative Methods

Administration

External Activity

  • Editor QASS (Quantitative and Qualitative Analysis in Social Sciences)

Publications

Publications

Journal Papers

(2012) Campos, NF., Karanasos, MG. and Tan, B., Two to tangle: Financial development, political instability and economic growth in Argentina, Journal of Banking and Finance 36 (1) : 290- 304

(2011) Conrad, C., Karanasos, M. and Zeng, N., Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study, Journal of Empirical Finance 18 (1) : 147- 159

(2010) Conrad, C. and Karanasos, M., Negative volatility spillovers in the unrestricted ECCC-GARCH model, Econometric Theory 26 (3) : 838- 862

(2010) Conrad, C., Karanasos, M. and Zeng, N., The link between macroeconomic performance and variability in the UK, Economics Letters 106 (3) : 154- 157

(2010) Conrad, C. and Karanasos, M., Negative volatility spillovers in the unrestricted ECCC-GARCH model, Econometric Theory 26 (3) : 838- 862

(2009) Karanasos, M. and Kartsaklas, A., Dual long-memory, structural breaks and the link between turnover and the range-based volatility, Journal of Empirical Finance 16 (5) : 838- 851

(2008) Fountas, S. and Karanasos, M., Are economic growth and the variability of the business cycle related ? Evidence from five European countries, Journal of International Money and Finance 22 (4) : 445- 459

(2008) Campos, NF. and Karanasos, MG., Growth, volatility and political instability: Non-linear time-series evidence for Argentina, 1896-2000, Economics Letters 100 (1) : 135- 137

(2008) Karanasos, M., The statistical properties of exponential ACD models, Quantitative and Qualitative Analysis in Social Sciences 2 (1) : 29- 49

(2007) Fountas, S. and Karanasos, M., Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7, Journal of International Money and Finance 26 (2) : 229- 250

(2006) Fountas, S. and Karanasos, M., The relationship between economic growth and real uncertainty in the G3, Economic Modelling 23 (4) : 638- 647

(2006) Karanasos, M., Fountas, S. and Kim, J., Inflation uncertainty, output growth uncertainty and macroeconomic performance, Oxford Bulletin of Economics and Statistics 68 (3) : 319- 343

(2006) Karanasos, M., Sekioua, SH. and Zeng, N., 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 90 (2) : 163- 169

(2006) Karanasos, M. and Kim, J., A re-examination of the asymmetric power ARCH model, Journal of Empirical Finance 13 (1) : 113- 128

(2006) Conrad, C. and Karanasos, M., The impulse response function of the long memory GARCH process, ECONOMICS LETTERS 90 (1) : 34- 41

(2006) Sekioua, SH. and Karanasos, M., The real exchange rate and the Purchasing Power Parity puzzle: Further evidence, Applied Financial Economics 16 (1-2) : 199- 211

(2005) Conrad, C. and Karanasos, M., 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 9 (4) : -

(2005) Karanasos, M. and Kim, J., On the existence or absence of a variance relationship: A study of macroeconomic uncertainty, WSEAS Transactions on Computers 4 (11) : 1475- 1482

(2005) Conrad, C. and Karanasos, M., On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach, JAPAN AND THE WORLD ECONOMY 17 (3) : 327- 343

(2005) Kim, J., Kartsaklas, A. and Karanasos, M., 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 12 (3) : 245- 271

(2004) Fountas, S., Ioannidis, A. and Karanasos, M., Inflation, inflation uncertainty and a common European monetary policy, Manchester School 72 (2) : 221- 242

(2004) Karanasos, M., Psaradakis, Z. and Sola, M., On the autocorrelation properties of long-memory GARCH processes, Journal of Time Series Analysis 25 (2) : 265- 281

(2004) Fountas, S., Karanasos, M. and Mendoza, A., Output variability and economic growth: The Japanese case, Bulletin of Economic Research 56 (4) : 353- 363

(2002) Fountas, S., Karanasos, M. and Kim, J., Inflation and output growth uncertainty and their relationship with inflation and output growth, ECONOMICS LETTERS 75 (3) : 293- 301

(2001) Karanasos, M., Prediction in ARMA models with GARCH in mean effects, JOURNAL OF TIME SERIES ANALYSIS 22 (5) : 555- 576

(2000) Karanasos, M., A new method for obtaining the autocovariance of an Arma model: An exact form solution - Acknowledgment of priority and correction, Econometric Theory 16 (2) : 280- 282

(1999) Karanasos, M., The second moment and the autocovariance function of the squared errors of the GARCH model, JOURNAL OF ECONOMETRICS 90 (1) : 63- 76

(1998) Karanasos, M., A new method for obtaining the autocovariance of an arma model: An exact form solution, Econometric Theory 14 (5) : 622- 640

Page last updated: Tuesday 31 July 2012