A self-tuning model for inflation rate dynamics

DOI10.1016/J.CNSNS.2009.09.018zbMATH Open1222.91040OpenAlexW2076544035MaRDI QIDQ720159FDOQ720159

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

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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)

Cites Work

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• On the convergence properties of the EM algorithm
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
• Pricing inflation-indexed derivatives
• Parameter Estimation for Scientists and Engineers

Cited In (8)

• Uncertainty of financial time series based on discrete fractional cumulative residual entropy
• Title not available (Why is that?)
• Reliability evaluation of a Semi-Markov repairable system under alternative environments
• 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
• Title not available (Why is that?)
• Inflation dynamics in the frequency domain

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