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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong; Chung, Sang-Kuck - 2009
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …
Persistent link: https://www.econbiz.de/10010288125
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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong; Chung, Sang-kuck - 2009
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; inflation ; long memory ; normal mixture …
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
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; Inflation ; Long Memory ; Normal Mixture …
Persistent link: https://www.econbiz.de/10003921443
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A Long Memory Model with Mixed Normal GARCH for US Inflation Data
Cheung, Yin-Wong; Chung, Sang-Kuck - 2009
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …
Persistent link: https://www.econbiz.de/10014205690
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10010292792
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Asymmetric multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10010298390
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - 2008
We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...
Persistent link: https://www.econbiz.de/10010298391
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
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Symmetric and asymmetric dynamics of output gap and inflation relation for Turkish economy
Biçer, Burhan; Cil, Almila Burgac - In: Prague economic papers : a bimonthly journal of … 32 (2023) 5, pp. 520-549
gap and inflation for the Turkish economy using data from 2002:01 to 2021:09. First, it analyses the cointegration by …. The results also show asymmetric causality running from positive (negative) output gap to positive (negative) inflation … shock, and running from negative inflation shock to negative output gap shock. The overall findings indicate the importance …
Persistent link: https://www.econbiz.de/10014516257
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Inflation thresholds and economic growth : evidence from Nigeria
Ajide, Kazeem Bello; Lawanson, Olukemi - 2012
Inflation is one of the most challenging macroeconomic objectives capable of frustrating every pragmatic effort at … achieving other macroeconomics goals if not curtailed. To this end, the paper empirically examines the threshold inflation rate … a least square multivariate approach to estimate a threshold level of inflation. Further, error correction modeling (ECM …
Persistent link: https://www.econbiz.de/10009705751