Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To capture the possibility of dynamic nonlinearity and, in...

In this article, we employ a time-varying GARCH-type specification to model inflation and investigate the behaviour of its persistence. Specifically, by modelling the inflation series as AR(1)-APGARCH(1,1)-in-mean-level process with breaks, we show that persistence is transmitted from the...

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...

In this article, we employ a time-varying GARCH-type specification to model inflation and investigate the behaviour of its persistence. Specifically, by modelling the inflation series as AR(1)-APGARCH(1,1)-in-mean-level process with breaks, we show that persistence is transmitted from the...