This paper proposes a statistical model and a conceptual framework to estimate inflation volatility assuming rational inattention, where the decay in the level of attention reflects the arrival of news in the market. We estimate trend inflation and the conditional inflation volatility for...

In this paper we propose a new method to specify linear models for vectors of time series with some convenient properties: First, it provides a unique modeling approach for single and multiple time series, as the same decisions are required in both cases. Second, it is scalable, meaning that it...

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process. Specifically, we formally define a general notion of asymptotic price convergence, which encompasses convergence as steady-state and catching-up, and propose a model to represent a...

There is little evidence in support of a normal distribution for most financial assets, including the VIX. This paper concludes that the lambda parameter, in the one-parameter Box & Cox (1964) family, appropriate for VIX to be normal, is minus one (expected precision), which is very far from...