Forecasting Inflation Uncertainty in the G7 Countries

Forecasting Inflation Uncertainty in the G7 Countries

There is substantial evidence that inflation rates are characterized by long memory and nonlinearities. In this paper, we introduce a long-memory Smooth Transition AutoRegressive Fractionally Integrated Moving Average-Markov Switching Multifractal specification [ STARFIMA ( p , d , q ) -...

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Bibliographic Details
Main Authors: Mawuli Segnon, Stelios Bekiros, Bernd Wilfling
Format: Article
Language:English
Published: MDPI AG 2018-04-01
Series:Econometrics
Subjects:
inflation uncertainty
smooth transition
multifractal processes
GARCH processes
Online Access:http://www.mdpi.com/2225-1146/6/2/23

Internet

http://www.mdpi.com/2225-1146/6/2/23

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