Advanced Search
MyIDEAS: Login to save this article or follow this journal

Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models

Contents:

Author Info

  • Doaa Akl Ahmed

    ()
    (University of Leicester, University Road, Leicester, LE1 7RH, United Kingdom, and University of Benha, Egypt.)

Abstract

The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economia.uanl.mx/revistaensayos/xxx/2/Modelling-the-Density-of-Inflation.pdf
Download Restriction: no

Bibliographic Info

Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXX (2011)
Issue (Month): 2 (November)
Pages: 1-28

as in new window
Handle: RePEc:ere:journl:v:xxx:y:2011:i:2:p:1-28

Contact details of provider:
Postal: Avenida Lazaro Cardenas 4600 Ote., Fraccionamiento Residencial Las Torres, C.P. 64930. Monterrey, Nuevo Leon. México.
Phone: +52 (81) 8329 4150
Fax: +52 (81) 8342 2897
Email:
Web page: http://www.economia.uanl.mx
More information through EDIRC

Order Information:
Email:

Related research

Keywords: inflation targeting; conditional volatility; skewness and kurtosis; modelling uncertainty of inflation;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Michael F. Bryan & Stephen G. Cecchetti, 1996. "Inflation and the Distribution of Price Changes," NBER Working Papers 5793, National Bureau of Economic Research, Inc.
  2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Durán-Vázquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2012. "Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones
    [A GARCH model with autorregresive conditional asym
    ," MPRA Paper 42548, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ere:journl:v:xxx:y:2011:i:2:p:1-28. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dora María Vega Facio).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.