Multi-factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2009) Multi-factor Gegenbauer processes and European inflation rates. Centre for International Capital Markets discussion papers, 2009 (07). pp. 1-24. ISSN 1749-3412

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Abstract

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at both the zero and the semi-annual frequencies, especially at the former.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; fractional integration; long memory; inflation
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 20 Apr 2015 13:57
Last Modified: 20 Apr 2015 13:57
URI: http://repository.londonmet.ac.uk/id/eprint/433

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