In this article, we employ a time-varying GARCH-type specification to model inflation and investigate the behaviour of its persistence. Specifically, by modelling the inflation series as AR(1)-APGARCH(1,1)-in-mean-level process with breaks, we show that persistence is transmitted from the...

This paper investigates dynamic asymmetries in house price cycles. We introduce an ad-hoc nonlinear model to capture real estate cycles. The suggested model involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive...