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