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Modeling Inflation Jumps And Regimes In Ghana: Evidence From Hidden Markov Models, Hawkes Processes, And Jump Dependence Tests
This paper examines Ghana's inflation dynamics using a combination of regime switching and self-exciting point process models, complemented with formal jump-dependence tests. A Gaussian Hidden Markov Model (HMM) is applied to monthly Consumer Price Index (CPI) year-on-year changes to identify latent inflation regimes. Structural jump events are detected using change-point methods, and their temporal dependence is analyzed through a univariate
