Forecasting inflation remains an intriguing research topic among academics and practitioners alike. Recent studies by Stock and Watson (1999 JME, 2003 JEL) have documented the limited usefulness of Phillip curve type models using unemployment or other macroeconomic and financial variables for...

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...