The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a...

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a...

In this paper, the asymmetric effects of oil price shocks on GDP have been investigated by co-integration analysis in Iran economy during the period 1960-2010. We used Hodrick-Prescott filtering to separate positive shocks from negative shocks. The results showed that in long run the negative...

Economic activity, this useful relationship has not been supported by empirical testing Although housing activity has often been used as a leading indicator of general using econometric procedures. In this chapter, we investigate whether housing activity does prove to be a leading indicator...

In this chapter, a vector subset autoregressive process is fitted using a block modified Choleski decomposition method and a leaps-and-bounds algorithm to attain the best subset autoregression for each size (number of non-zero coefficient matrices). Model selection criteria are then employed to...

This paper sheds new light on the asymmetric short-run dynamics of US gasoline prices. The odel is inspired by Pindyck’s inventory model of commodity price dynamics, that stresses the importance of volatility in crude oil markets for short-run market dynamics. We show that after February 1999...