... outbreak and the ongoing Russia/Ukraine war, provide a unique research opportunity to determine if inflation volatility, generated by the pandemic and the war, is irrevocably linked to its persistence. We apply fractional integration techniques to the price series. Findings Our results indicate high...

... dynamics during the COVID-19 pandemic. Design/methodology/approach The methodology is based on the concept of fractional integration that indicates that the number of differences to be taken in a series to render it stationary I(0) may be a fractional value. Findings Assuming a white noise process...

... polynomials in time, with the residuals being fractionally integrated or integrated of order d, where d can be any real value. © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only María Malmierca can be contacted at: maria.malmierca...

.... Design/methodology/approach First, the authors estimate inflation persistence in a rolling-window fractional-integration setting using the semiparametric estimator suggested by Phillips (2007). Second, the authors use tests for unknown structural breaks as a means to identify effects of the regime...