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Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation … traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day … day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer …
Persistent link: https://www.econbiz.de/10008737147
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SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...
Persistent link: https://www.econbiz.de/10009755511
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Measuring the Level and Uncertainty of Trend Inflation
Mertens, Elmar - 2011
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...
Persistent link: https://www.econbiz.de/10013118650
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Turkish Lira – A Fiat Currency that Resembles the Volatility of Cryptocurrencies : The Effects of Exchange Rate Volatility on Turkish Economy
Taskinsoy, John - 2019
The dollar's dominance as the world's reserve currency was inaugurated at the 1944 Bretton Woods conference where the agreement was signed by the 44 wartime allies, but the dollar's hegemony was solidified in 1971 when US President Nixon cut the dollar's link to gold. True, the fixed exchange...
Persistent link: https://www.econbiz.de/10012892702
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Stochastic Seasonality, Contemporaneous Inference, and Forecasting in the Presence of Volatile Weather
Nickelsburg, Jerry - 2017
-based method that allows for temperature adjustment to improve forecasting outcomes. With the assumption of climate change taking …
Persistent link: https://www.econbiz.de/10012972987
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The Macroeconomic Effects of Uncertainty Shocks : The Role of the Financial Channel
Popp, Aaron - 2016
This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...
Persistent link: https://www.econbiz.de/10013003975
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Volatility of the 2008 Crisis
Cottrell, Paul - 2016
This paper will provide information on what happened in the financial crisis of 2008 and how to graph volatility outside of the option market. We will investigate the causes of the financial crisis, as well as some of the social inequalities that still exist today. We will explore household...
Persistent link: https://www.econbiz.de/10012993297
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The Global Component of Inflation Volatility
Carriero, Andrea - 2018
structural analysis and forecasting purposes. We study the evolution of inflation rates in several countries, using a novel model …
Persistent link: https://www.econbiz.de/10012919564
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10012924242
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Clark, Todd E.; Carriero, Andrea; Marcellino, … - 2021
stochastic volatility (SV) of VAR residuals. Specifically, we propose VAR models with outlier-augmented SV that combine …
Persistent link: https://www.econbiz.de/10013241639