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07-099/4 - Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

  • Authors
    C.S. Bos, VU University Amsterdam; S.J. Koopman, VU University Amsterdam; M. Ooms, VU University Amsterdam
  • Publication date
    December 18, 2007
  • Keywords
    Time varying parameters; Importance sampling; Monte Carlo simulation; Stochastic Volatility; Fractional Integration
  • JEL
    C15; C32; C51; E23; E31
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