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Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria - 2014

, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France … former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes …

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