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Delle Monache, Davide; Petrella, Ivan - 2014

attain local stationarity and bounded mean values. The model is applied to the analysis of inflation dynamics. Allowing for …

Persistent link: https://www.econbiz.de/10010382183

Enflasyon dinamiklerindeki değişim: döviz kuru geçişkenliği güçleniyor mu?

Kara, Hakan; Sarıkaya, Çağrı - 2021

Persistent link: https://www.econbiz.de/10012694646

Forecasting inflation in Vietnam with univariate and vector autoregressive models

Tran Thanh Hoa - 2017

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …

Persistent link: https://www.econbiz.de/10011606109

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009

) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … model, as well as the cointegrating properties of the estimated system. Overall, in the long run, wage and price inflation …

Persistent link: https://www.econbiz.de/10003867061

Non-negativity conditions for the hyperbolic GARCH model

Conrad, Christian (contributor) - 2007

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p < 2 and sufficient for p > 2 and emerge as natural extensions of the inequality constraints derived in...</2>

Persistent link: https://www.econbiz.de/10003762825

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011431797

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

Outlier detection in GARCH models

Doornik, Jurgen A.; Ooms, Marius - 2005

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Persistent link: https://www.econbiz.de/10011346470

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010405194

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

Persistent link: https://www.econbiz.de/10010417180