A multivariate GARCH model with time-varying correlations : what do inflation data show in Ethiopia?
| dc.contributor.author | Likassa, Habte Tadesse | |
| dc.contributor.author | Chen, Ding-Geng (Din) | |
| dc.contributor.author | Nadarajah, Saralees | |
| dc.contributor.author | Sema, Meskerem | |
| dc.contributor.author | Chen, Jenny K. | |
| dc.contributor.author | Temesgen, Shibru | |
| dc.contributor.author | Gotu, Butte | |
| dc.contributor.email | din.chen@up.ac.za | |
| dc.date.accessioned | 2026-03-05T11:56:57Z | |
| dc.date.available | 2026-03-05T11:56:57Z | |
| dc.date.issued | 2026 | |
| dc.description | DATA AVAILABILITY : The datasets used during the current study are available from the corresponding author upon reasonable request. The dataset was taken from NBE. There are no restrictions on the availability, and the investigators are willing to provide the data. | |
| dc.description.abstract | Please read abstract in the article. | |
| dc.description.department | Statistics | |
| dc.description.librarian | hj2026 | |
| dc.description.sdg | SDG-01: No poverty | |
| dc.description.sdg | SDG-08: Decent work and economic growth | |
| dc.description.sponsorship | Partially supported by South Africa National Research Foundation (NRF) and South Africa Medical Research Council (SAMRC). Open access funding provided by University of Pre | |
| dc.description.uri | https://link.springer.com/journal/10614 | |
| dc.identifier.citation | Likassa, H.T., Chen, DG., Nadarajah, S. et al. A Multivariate GARCH Model with Time-Varying Correlations: What Do Inflation Data Show in Ethiopia? Computational Economics (2025). https://doi.org/10.1007/s10614-025-10951-y. | |
| dc.identifier.issn | 0927-7099 (print) | |
| dc.identifier.issn | 1572-9974 (online) | |
| dc.identifier.other | 10.1007/s10614-025-10951-y | |
| dc.identifier.uri | http://hdl.handle.net/2263/108778 | |
| dc.language.iso | en | |
| dc.publisher | Springer | |
| dc.rights | © The Author(s) 2025. Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License. | |
| dc.subject | Inflation | |
| dc.subject | Ethiopia | |
| dc.subject | Baba, Engle, Kraft, and Kroner (BEKK) | |
| dc.subject | Dynamic conditional correlation (DCC) | |
| dc.subject | Generalized autoregressive conditional heteroscedasticity (GARCH) | |
| dc.subject | Consumer Price Index (CPI) | |
| dc.subject | National Bank of Ethiopia (NBE) | |
| dc.subject | Exchange rate | |
| dc.subject | Food Price Index (FPI) | |
| dc.subject | Non-Food Price Index (NFPI) | |
| dc.subject | Multivariate GARCH | |
| dc.title | A multivariate GARCH model with time-varying correlations : what do inflation data show in Ethiopia? | |
| dc.type | Article |