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...
| প্রকাশিত: | The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40. |
|---|---|
| প্রধান লেখক: | , , |
| বিন্যাস: | Analytics |
| ভাষা: | English |
| প্রকাশিত: |
[Quezon City]
School of Economics, University of the Philippines
2010.
|
| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | https://forms.gle/KZjBv7aRtY6jiL5E9 |