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The time-varying tradeoff between inflation and unemployment : evidence from SAARC economies with a state space approach
Vinayagathasan, Thanablasingam; Meng, Xiancai - In: Romanian journal of economic forecasting 24 (2021) 3, pp. 20-34
Persistent link: https://www.econbiz.de/10012655427
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Welfare cost of inflation in Brazil : an approach with time-varying cointegration and Kalman Filter
Campos, Eduardo Lima; Cysne, Rubens Penha - 2018
Persistent link: https://www.econbiz.de/10011898482
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U.S. Core Inflation : A Wavelet Analysis
Cotter, John; Dowd, Kevin - 2008
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and … for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet … are a promising avenue for future research on core inflation …
Persistent link: https://www.econbiz.de/10014026027
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A parametric approach for estimating core inflation and interpreting the inflation process
Apel, Mikael; Jansson, Per - In: Measures of underlying inflation and their role in the …, (pp. 1-22). 1999
Persistent link: https://www.econbiz.de/10001461753
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the … period - although in general at a level below the inflation target - and it does not appear to have been affected much by the …
Persistent link: https://www.econbiz.de/10012818429
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Gold and inflation(s) : a time-varying relationship
Lucey, Brian M.; Sharma, Susan Sunila; Vigne, Samuel A. - In: Economic modelling 67 (2017), pp. 88-101
Persistent link: https://www.econbiz.de/10011813784
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason; Forbes, Catherine Scipione; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430
Persistent link: https://www.econbiz.de/10009787038
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Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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Estimation of realized asymmetric stochastic volatility models using Kalman filter
Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...
Persistent link: https://www.econbiz.de/10014425668