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In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …
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coordinated wage bargaining systems have a dampening impact on inflation volatility. …
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and beyond the determinants of currency invoicing (i.e., inflation rate, inflation volatility, foreign exchange market … by a drop in inflation volatility. …
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