of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

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 …

Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of … monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the … term structure of interest rates, and realized inflation rates. My application combines a variety of data sources at the …

Global developments play an important role in domestic inflation rates. Previous literature has found that a … substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However …, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

-based algorithms. We assess the usefulness of these new models in an inflation forecasting exercise across all G7 economies. We find …

algorithms. We assess the usefulness of these new models in an inflation forecasting exercise across all G7 economies. We find …