A self-tuning model for inflation rate dynamics

DOI10.1016/J.CNSNS.2009.09.018MaRDI QIDQ720159zbMATH OpenOpenAlexFDO

Authors Rogemar Mamon, Zheng Duan

Publication date 13 October 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2009.09.018

zbMATH Keywords

EM algorithminflationconsumer price indexMarkov-switching model

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamical systems in optimization and economics (37N40) Economic dynamics (91B55) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the convergence properties of the EM algorithm
• Parameter Estimation for Scientists and Engineers
• Pricing inflation-indexed derivatives
• The pricing of credit default swaps under a Markov-modulated Merton's structural model

Cited in

(9)

• Reliability evaluation of a semi-Markov repairable system under alternative environments
• Uncertainty of financial time series based on discrete fractional cumulative residual entropy
• A note on an unemployment model dynamics and estimation of parameters
• scientific article; zbMATH DE number 1208134 (Why is no real title available?)
• On time-dependent nominal contracting models with positive trend inflation
• Chapter 9 Modeling Inflation and Money Demand Using a Fourier-Series Approximation
• Using a projection method to analyze inflation bias in a micro-founded model
• scientific article; zbMATH DE number 5049950 (Why is no real title available?)
• Inflation dynamics in the frequency domain

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