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Long memory and structural change in the G7 inflation dynamics · Study

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ArticleLong memory and structural change in the G7 inflation dynamics

Mustapha Belkhouja2016

Article2016

Long memory and structural change in the G7 inflation dynamics

Mustapha Belkhouja · Imène Mootamri

12 citations·0/0 files stored·Economic Modelling

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1977Nobel Lecture: Inflation and Unemployment 1988Testing Linearity Against Smooth Transition Autoregressive Models 1990Persistence in Variance, Structural Change, and the GARCH Model 2001Long memory and regime switching 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model 1996Testing the adequacy of smooth transition autoregressive models

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Year2016

Typearticle

Published2016-02-17

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations12

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.econmod.2016.01.021

openalex_workW2287643175

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