This article analyzes the inflation dynamics of several countries belonging to the European Monetary Union and of the UK. We estimate the two main parameters driving the degree of persistence in inflation and its uncertainty using a dual long memory process. We also investigate the possible...

We use parametric models of long memory in both the conditional mean and the conditional variance of inflation and monthly data in the USA, Japan and the UK for the period 1962-2001 to examine the relationship between inflation and inflation-uncertainty. In all countries, inflation significantly...

In this article we derive convenient representations for the cumulative impulse response function of the long memory GARCH(p,d,q) (LMGARCH) process. Our results extend the results in Baillie et al. (1996) on the first order LMGARCH. Using the derived impulse response functions we compare the...

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...