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ArticleLong memory and level shifts: Re-analyzing inflation rates

Charles S. Bos1999

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Articlegreen1999

Long memory and level shifts: Re-analyzing inflation rates

Charles S. Bos · Philip Hans Franses · Marius Ooms

121 citations·0/0 files stored·Empirical Economics

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

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1996Statistics for Long-Memory Processes.1996Long memory processes and fractional integration in econometrics 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1997Estimation of a Change Point in Multiple Regression Models 1998The detection and estimation of long memory in stochastic volatility

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2005Breaks and persistency: macroeconomic causes of stock market volatility 2006On discriminating between long-range dependence and changes in mean 2002A nonlinear long memory model, with an application to US unemployment 2007Dynamics of Persistence in International Inflation Rates 2007Long memory and structural changes in the forward discount: An empirical investigation

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Year1999

Typearticle

Published1999-08-17

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations121

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1007/s001810050065

openalex_workW1983449331

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2002

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