I develop a structural model of inflation by combining two different models of price setting behavior: the sticky price … resultant SP/SI Phillips curve models inflation better than either the sticky price or sticky information models. The results … are robust to alternative sub-samples and estimation methods. …

framework for estimation and model comparison. For instance, we estimate a stochastic volatility model with leverage effect and … one with Student-t distributed errors. We also model time series characteristics of US inflation rate by considering a … heteroskedastic ARFIMA model where heteroskedasticity is specified by means of a Gaussian stochastic volatility process. …

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs …

regarding inflation and output dynamics. This paper examines and compares dynamic responses of the sticky price and sticky …

(ARIMA) time series models for forecasting Irish inflation. A framework for ARIMA forecasting is drawn up. It considers two …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there exists …

The concept of NAIRU summarized the observed negative correlation between the unemployment rate and the inflation rate …

The evolution of the rate of price inflation, (t), and unemployment, u(t), in Japan has been modeled within the … that growing unemployment results in decreasing inflation. A linear and lagged generalized Phillips curve expressed as a … link between inflation, unemployment, and labor force has been also re-estimated and validated by new data. Labor force …