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~person:"Benavides, Guillermo"
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inflation-indexed futures
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volatility persistence
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Benavides, Guillermo
Caporale, Guglielmo Maria
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Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective
Benavides, Guillermo
-
Banco de México
-
2010
day. However, the
volatility
persistence
of ARCH-type models is reflected with relatively high VaR estimates for longer …
Persistent link: https://www.econbiz.de/10008725882
Saved in:
2
Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Benavides, Guillermo
-
2010
day. However, the
volatility
persistence
of ARCH-type models is reflected with relatively high VaR estimates for longer …
Persistent link: https://www.econbiz.de/10010322620
Saved in:
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