model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters … related to the stochastic processes of the mean part and the variance part of the model. The estimation method is based on … carried out to investigate the small-sample properties of the estimation procedure. We present two illustrations which are …

crisis is empirically examined. The standard model for the monetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation in Indonesia remarkably weIl. Hence, there is an empirical support for the assertion …

, notwithstanding that inflation in some countries tends to converge towards the euro area level. Overa11, inflation persistence has …

This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …

equilibrium in mixed strategies always exists. We then examine the nonparametric identification and estimation of the costs of …