This paper proposes a statistical model and a conceptual framework to estimate inflation volatility assuming rational inattention, where the decay in the level of attention reflects the arrival of news in the market. We estimate trend inflation and the conditional inflation volatility for...

This article is a summary of the methodology proposed by Gonzalez-Perez (2021) for estimation of a volatility index for an asset portfolio on which no options have been issued. The methodology allows volatility indices to be constructed for personalised portfolios, using the options issued on...

For central banks, it is crucial to develop and maintain risk identification frameworks that allow them to detect in good time and address potential threats to financial stability with the most appropriate policy tools. This paper reviews the main indicators developed for this purpose by the...

This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium. This methodology enables calculating a volatility index for arbitrary (non-traded) portfolios. Using data...

Este artículo describe una metodología que permite contrastar la convergencia absoluta y relativa del nivel general de precios (en media y varianza), basada en un modelo de precios relativos que incluye un proceso de transición y permite medir la velocidad de convergencia de precios entre un...

There is little evidence in support of a normal distribution for most financial assets, including the VIX. This paper concludes that the lambda parameter, in the one-parameter Box & Cox (1964) family, appropriate for VIX to be normal, is minus one (expected precision), which is very far from...