ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; Inflation ; Long Memory ; Normal Mixture …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … and food CPI, implying that the impacts of inflation shocks on their volatilities die away very slowly. However, the …

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also … allows for feedback from nominal uncertainty to inflation. Our empirical results suggest that inflation persistence in the …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

of US inflation using a model with time-varying mean and variance; we report significant improvements in the forecasting …

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with …, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …