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...

Szczegółowa specyfikacja

Opis bibliograficzny
Wydane w:	The Philippine Review of Economics Vol. 47, no. 2 (December 2010), p. 21-40.
Główni autorzy:	Santos, Edward P. (Autor), Mapa, Dennis S. (Autor), Glindro, Eloisa T. (Autor)
Format:	Analytics
Język:	angielski
Wydane:	[Quezon City] School of Economics, University of the Philippines 2010.
Hasła przedmiotowe:	Inflation risk > Philippines. Inflation (Finance) > Philippines > Mathematical models.
Dostęp online:	https://forms.gle/KZjBv7aRtY6jiL5E9