This paper examines the relationship between inflation and inflation uncertainty for both developed and emerging countries. We find new evidence that suggests positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries

Für eine effiziente Kapitalallokation, insbesondere mit Blick auf die Hinterlegung ausreichender Eigenmittel zur Absicherung gegen extreme Marktbewegungen, ist eine möglichst genaue Abschätzung der Marktrisiken erforderlich. Die Ermittlung des Value-at-Risk ist in diesem Zusammenhang von...

We use parametric models of long memory in both the conditional mean and the conditional variance of inflation and monthly data in the USA, Japan and the UK for the period 1962-2001 to examine the relationship between inflation and inflation-uncertainty. In all countries, inflation significantly...

In this article we derive convenient representations for the cumulative impulse response function of the long memory GARCH(p,d,q) (LMGARCH) process. Our results extend the results in Baillie et al. (1996) on the first order LMGARCH. Using the derived impulse response functions we compare the...

We develop a theoretical model to compare forecast uncertainty estimated from time-series models to those available from survey density forecasts. The sum of the average variance of individual densities and the disagreement is shown to approximate the predictive uncertainty from well-specified...