We use univariate GARCH models of inflation and output growth and monthly data for the
G7 covering the 1957–2000 period to test for the causal effect of real and nominal …

We investigate volatility models and their forecasting abilities for three types of petroleum
futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate …

In this article we derive necessary and sufficient conditions for the nonnegativity of the
conditional variance in the fractionally integrated generalized autoregressive conditional …

This study examines the time‐frequency causal link between economic policy uncertainty
and inflation in Japan while answering the following questions:(i) is there any causal link …

We use a long series of annual output data that span about one and a half centuries to
examine the relationship between output growth and output growth uncertainty in the G3 …

This article estimates a time-varying AR-GARCH model of inflation producing measures of
inflation uncertainty for the euro area, and investigates their linkages in a VAR framework …

In this article we derive conditions which ensure the non-negativity of the conditional
variance in the Hyperbolic GARCH (p, d, q)(HYGARCH) model of Davidson (2004). The …

We analyze the determinants of average individual inflation uncertainty and the cross-
sectional variance of point forecasts (“disagreement”) based on data from the European …

This paper provides new evidence on inflation persistence before and after the European
Monetary Union (EMU). Taking into account fractional integration of inflation, we confirm that …

This paper adopts a time-varying GARCH framework to estimate short-run and steady-state
inflation uncertainty in 12 EMU countries, and then investigates their relationship with …