Chowdhury, Kushal Banik; Sarkar, Nityananda - In: International Econometric Review (IER) 7 (2015) 1, pp. 34-50
This paper studies the impact of inflation on inflation uncertainty in a modelling framework where both the conditional mean and conditional variance of inflation are regime specific, and the GARCH model for inflation uncertainty is extended by including a lagged inflation term in each regime....
