Add to ORKGThe paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant. JEL Classification: C13, E31, E37
Construction of nonlinear time series models with a flexible probabilistic structure is an important...
Numerous economic time series do not have a constant mean and in practical situations, we often see ...
This paper models an inflation density forecast framework that closely resembles policymakers' actua...
The paper aimed at modelling the density of inflation based on time-varying conditional variance, sk...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitor...
Milton Friedman proposed that there is a positive relationship between inflation and uncertainty abo...
The present study uses Gaussian Process regression models for generating density forecasts of inflat...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
A new GARCH-type model for autoregressive conditional volatility, skewness, and kurtosis is proposed...
This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Vi...
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitor...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basica...
This paper focus on the problems faced in the empirical investigation of the relation between the le...
Construction of nonlinear time series models with a flexible probabilistic structure is an important...
Numerous economic time series do not have a constant mean and in practical situations, we often see ...
This paper models an inflation density forecast framework that closely resembles policymakers' actua...
The paper aimed at modelling the density of inflation based on time-varying conditional variance, sk...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitor...
Milton Friedman proposed that there is a positive relationship between inflation and uncertainty abo...
The present study uses Gaussian Process regression models for generating density forecasts of inflat...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
A new GARCH-type model for autoregressive conditional volatility, skewness, and kurtosis is proposed...
This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Vi...
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitor...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basica...
This paper focus on the problems faced in the empirical investigation of the relation between the le...
Construction of nonlinear time series models with a flexible probabilistic structure is an important...
Numerous economic time series do not have a constant mean and in practical situations, we often see ...
This paper models an inflation density forecast framework that closely resembles policymakers' actua...