inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by ex post forecast errors from a bivariate …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …