We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...

In this paper we do a statistical analysis of the Mexican Consumer Price Index microdata set to characterize the rigidities of the price setting process in the different sectors of the Mexican economy. The microdata set goes from July 2002 to December 2009. Broadly, results show that there...

When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can estimate integrated spot volatility. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the...

This paper studies the dynamics of Mexican inflation by using a wavelet Multiresolution Analysis (MRA) on 16 indexes of the Mexican consumer price index. This enables to estimate the long-term trend, seasonality, and local shocks of the inflation series, even when the series are non-stationary....

We use high frequency financial data to proxy, via the realised variance, each days financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...

In this paper, we conducted a detailed statistical analysis of the behavior of the Mexican CPI price variations from May 2003 to August 2006. Different methodologies allowed identification of possible classification problems of the subindexes and inflationary pressures on specific items during...

In this paper we do a statistical analysis of the Mexican Consumer Price Index microdata set to characterize the rigidities of the price setting process in the different sectors of the Mexican economy. The microdata set goes from July 2002 to December 2009. Broadly, results show that there...

This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the Mexican Consumer Price Index. This enables us to estimate the long-term trend, seasonality, and local shocks of the inflation series, even when the series are non-stationary. The...

Redress to consumers following the mis-selling of financial products is an important regulatory tool to secure an appropriate degree of protection for consumers, one of the three operational objectives of the Financial Conduct Authority (FCA). In 2011/12, excluding compensation for payment...

Given the debate on transparency in non-equity markets associated with the Markets in Financial Instruments Directive (MiFID II), a sound understanding of how these markets operate today is needed to identify potential market failures and to assess the impact of proposed regulatory...