the level of inflation; (ii) a relatively large forecast results in actions which in the end lower the inflation rate … introduce a logistic smooth transition autoregressive model where the regime switches depend on the forecast of the time series … of interest. This forecast can either be an exogenous expert forecast or an endogenous forecast generated by the model …

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level … usefully applied in practice. For 23 inflation rate series we find that generally the long-memory model is best, both in terms …

, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …