Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Year of publication: |
2010
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Authors: | Benavides, Guillermo |
Publisher: |
Ciudad de México : Banco de México |
Subject: | Index-Futures | Inflation | Volatilität | Bootstrap-Verfahren | Risikomaß | Mexiko | bootstrapping | inflation | inflation-indexed futures | Mexico | Value at Risk | volatility persistence |
Series: | Working Papers ; 2010-12 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 640757332 [GVK] hdl:10419/83774 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation |
Source: |
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Benavides, Guillermo, (2010)
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Benavides, Guillermo, (2010)
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