Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)
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Other versions of this item:
- Edward P. Santos & Dennis S. Mapa & Eloisa T. Glindro, 2010. "Estimating inflation-at-risk (IaR) using extreme value theory (EVT)," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 47(2), pages 21-40, December.
References listed on IDEAS
- Nikkin L. Beronilla & Dennis S. Mapa, 2008.
"Range-based models in estimating value-at-risk (VaR),"
Philippine Review of Economics,
University of the Philippines School of Economics and Philippine Economic Society, vol. 45(2), pages 87-99, December.
- Mapa, Dennis & Beronilla, Nikkin, 2008. "Range-Based Models in Estimating Value-at-Risk (VaR)," MPRA Paper 21223, University Library of Munich, Germany.
- Jose Oliver Q. Suaiso & Dennis S. Mapa, 2009. "Measuring market risk using extreme value theory," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 46(2), pages 91-121, December.
- Jonathan Kearns, 1998. "The Distribution and Measurement of Inflation," RBA Research Discussion Papers rdp9810, Reserve Bank of Australia.
- Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
- NEP-CBA-2011-01-30 (Central Banking)
- NEP-MAC-2011-01-30 (Macroeconomics)
- NEP-MON-2011-01-30 (Monetary Economics)
- NEP-RMG-2011-01-30 (Risk Management)
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