Modelling African inflation rates: nonlinear deterministic terms and long-range dependence

Long Range Dependence Eeects and Arch Modelling

Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs

In this paper, we present a new time series model, which describes self-exciting threshold autoregressive (SETAR) nonlinearity and seasonality simultaneously. The model is termed multiplicative seasonal SETAR (SEASETAR). It can be viewed as a special case of a general non-multiplicative SETAR model by imposing certain restrictions on the parameters of the latter model. Related to these restrict...

Long-range dependence in Interest Rates and Monetary Policy

This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range dependence has changed over time due to changes in monetary policy, specially in ...

Bayesian Time Series Modelling and Prediction with Long-Range Dependence

We present a class of models for trend plus stationary component time series, in which the spectral densities of stationary components are represented via non-parametric smoothness priors combined with long-range dependence components. We discuss model tting and computational issues underlying Bayesian inference under such models, and provide illustration in studies of a climatological time ser...

Specification Testing in Nonlinear Time Series with Long – Range Dependence

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence. An asymptotically normal test is established even when long–range dependence is involved. In order to implement the proposed test in practice using a simulated example, a bootstrap simulation procedure is establish...