Estimating inflation-at-risk (IaR) using extreme value theory (EVT)

Estimating inflation-at-risk (IaR) using extreme value theory (EVT)

This paper proposes a method of estimating inflation-at-risk (IaR) similar to the value-at-risk (VaR) used to estimate risk in the financial markets. The IaR represents the maximum inflation over a target horizon for a given low specified probability. It can serve as an early warning system that the...

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Détails bibliographiques
Publié dans:The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40.
Auteurs principaux: Santos, Edward P. (Auteur), Mapa, Dennis S. (Auteur), Glindro, Eloisa T. (Auteur)
Format: Analytics
Langue:English
Publié: [Quezon City] School of Economics, University of the Philippines 2010.
Sujets:
Inflation risk > Philippines.
Inflation (Finance) > Philippines > Mathematical models.
Accès en ligne:https://forms.gle/KZjBv7aRtY6jiL5E9