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...

Full description

Bibliographic Details
Published in:The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40.
Main Authors: Santos, Edward P. (Author), Mapa, Dennis S. (Author), Glindro, Eloisa T. (Author)
Format: Analytics
Language:English
Published: [Quezon City] School of Economics, University of the Philippines 2010.
Subjects:
Inflation risk > Philippines.
Inflation (Finance) > Philippines > Mathematical models.
Online Access:https://forms.gle/KZjBv7aRtY6jiL5E9