This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...

This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...

In this paper it is shown that the relative demands for UK Gasoline and Diesel fuels are price responsive. Given differing emissions based externalities from these two fuel types, it is contended that discriminatory fuel duty might be a means to reduce these externalities. Results are derived...

The purpose of this paper is to provide a novel look at the evolution of inflation dynamics in selected Central European (CE) countries. We use the lens of the New Keynesian Phillips Curve (NKPC) nested within a time-varying framework. Exploiting a time-varying regression model with stochastic...

Purpose The purpose of this paper is to evaluate whether the effect of inflation uncertainty on inflation has changed over time in Latin America. Design/methodology/approach The authors use a stochastic volatility in mean (SVM) model with time-varying parameters (TVP) as proposed by Chan (2017)....