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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Dades bibliogràfiques
Publicat a:The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40.
Autors principals: Santos, Edward P. (Autor), Mapa, Dennis S. (Autor), Glindro, Eloisa T. (Autor)
Format: Analytics
Idioma:English
Publicat: [Quezon City] School of Economics, University of the Philippines 2010.
Matèries:
Inflation risk > Philippines.
Inflation (Finance) > Philippines > Mathematical models.
Accés en línia:https://forms.gle/KZjBv7aRtY6jiL5E9