method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered … parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three …

The paper focuses on the measurement of the NAIRU (Non-Accelerating-Inflation-Rate-of-Unemployment) for the euro area … at the aggregate level. After reviewing the theoretical framework underlying the most common estimation approaches, it …, methodologies and choice of the inflation indicator. They also show significant inflation forecasting ability and are able to …

This paper studies inflation persistence with time-varying coefficient autoregressions for twelve central European … countries,in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high … inflation. Since the oil price shocks, inflation persistence has declined both in the US and euro-area. In most central and …

This article studies inflation persistence with time-varying coefficient autoregressions for twelve central European … countries, in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high … inflation. Since the oil price shocks, inflation persistence has declined both in the US and the euro-area. In most central and …

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

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …