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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
16 references·1 citing·33 second hop
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks (2008)Long Memory Modelling of Inflation with S…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Inflation dynamics: A structural econometric analysis (1999)Inflation dynamics: A structu…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Efficient Estimation for Ergodic Diffusions Sampled at High Frequency (2008)Efficient Estimation for Ergo…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Typical Spectral Shape of an Economic Variable (1966)Empirical properties of asset returns: stylized facts and statistical issues (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

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  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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1,960 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
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    • 2008Efficient Estimation for Ergodic Diffusions Sampled at High Frequency21 cited