This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

find evidence for such a non-linearity for inflation forecasts. Evidence from probit models further suggests that some … macroeconomic fundamentals - especially monetary factors - correlate to large positive or negative forecast growth and inflation …

Based on a panel of German professional forecasts for 1970 to 2002 we find that growth and inflation forecasts are …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory …

changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …