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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks · Study

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PreprintLong Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Charles S. Bos2008

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Preprintgreen2008

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Charles S. Bos · Siem Jan Koopman · Marius Ooms

21 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Complex Systems and Time Series Analysis

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1968Fractional Brownian Motions, Fractional Noises and Applications 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1990Forecasting, Structural Time Series Models and the Kalman Filter

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2008Efficient Estimation for Ergodic Diffusions Sampled at High Frequency

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1082705

openalex_workW1532860258

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