Estimating inflation-at-risk (IaR) using extreme value theory (EVT)
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Other versions of this item:
- Santos, Edward P. & Mapa, Dennis S. & Glindro, Eloisa T., 2011. "Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)," MPRA Paper 28266, University Library of Munich, Germany.
References listed on IDEAS
- Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
- Jonathan Kearns, 1998. "The Distribution and Measurement of Inflation," RBA Research Discussion Papers rdp9810, Reserve Bank of Australia.
More about this item
Keywordsinflation-at-risk (IaR); extreme value theory (EVT); peaks-over- threshold (POT);
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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