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Understanding the dynamics of inflation volatility in Nigeria : a GARCH perspective
Omotosho, Babatunde S.; Doguwa, Sani I. - In: CBN journal of applied statistics 3 (2012) 2, pp. 51-74
The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … impact of inflation shocks on headline volatility die out rather quickly. Secondly, substantial evidence of asymmetric effect …
Persistent link: https://www.econbiz.de/10011476231
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey
Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26
This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on … inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider …
Persistent link: https://www.econbiz.de/10014312187
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Investigating seasonality, policy intervention and forecasting in the Indian gold futures market : a comparison based on modeling non-constant variance using two different methods
Nargunam, Rupel; Wei, William W. S.; Anuradha, N. - In: Financial innovation : FIN 7 (2021), pp. 1-15
This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form. The trade of gold futures relates to seasons, festivity, and...
Persistent link: https://www.econbiz.de/10012617371
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020
Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...
Persistent link: https://www.econbiz.de/10012243070
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OLS limit theory for drifting sequences of parameters on the explosive side of unity
Magdalinos, Tassos; Petrova, Katerina - 2024
A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn → ρ ∈ (-∞, -1] ∪ [1, ∞) and n (|ρn| -1) → ∞. Drifting sequences of innovations and...
Persistent link: https://www.econbiz.de/10015051928
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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong; Chung, Sang-kuck - 2009
We introduce a time series model that captures both long memory and conditional heteroskedasticity and assess their ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation and uses a normal mixture GARCH process to...
Persistent link: https://www.econbiz.de/10003943625
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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong; Chung, Sang-kuck - 2009
We introduce a time series model that captures both long memory and conditional heteroskedasticity and assess their ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation and uses a normal mixture GARCH process to...
Persistent link: https://www.econbiz.de/10003921443
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Interpreting the evidence for New Keynesian models of inflation dynamics
Nymoen, Ragnar; Swensen, Anders Rygh; Tveter, Eivind - 2011 - Publisert 21. sep. 2011 17:28 - Sist endret 21. sep. 2011 17:29
We present a framework for interpretation of the empirical results of New Keynesian models of inflation dynamics. Both the rational expectations solution of the structural New Keynesian Phillips curve, NKPC, and the reduced form VAR analysis of the multivariate time series properties give...
Persistent link: https://www.econbiz.de/10009301212