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...
| Published in: | The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40. |
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| Main Authors: | , , |
| Format: | Analytics |
| Language: | English |
| Published: |
[Quezon City]
School of Economics, University of the Philippines
2010.
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| Subjects: | |
| Online Access: | https://forms.gle/KZjBv7aRtY6jiL5E9 |