Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

price rises characterises inflation; and this cumulation implies a very high long run probability of price rises. Modelling … a Markov chain to the fluctuations of the price levels facilitates estimation of such long run probability. In this … paper, we advance a Markov chain model for price movements in India, based on the general as well as a selected set of …

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns …