Long memory with stochastic variance model: A recursive analysis for US inflation
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
Reference59 articles.
1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993
2. Long memory processes and fractional integration in econometrics;Baillie;Journal of Econometrics,1996
3. Analysing inflation by the fractionally integrated ARFIMA–GARCH model;Baillie;Journal of Applied Econometrics,1996
4. Relative-price changes as aggregate supply shocks;Ball;Quarterly Journal of Economics,1995
5. Local polynomial estimation with a FARIMA-GARCH error process;Beran;Bernoulli,2001
Cited by 15 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Estimation and forecasting of long memory stochastic volatility models;Studies in Nonlinear Dynamics & Econometrics;2022-03-25
2. Estimation methods for stationary Gegenbauer processes;Statistical Papers;2022-02-14
3. On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin;Econometrics and Statistics;2020-10
4. Time variation in inflation persistence: New evidence from modelling US inflation;Economic Modelling;2019-09
5. Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?;Scottish Journal of Political Economy;2018-02-07
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3