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Article Dans Une Revue Brussels Economic Review Année : 2008

Flexible time series models for subjective distribution estimation with monetary policy in view

Résumé

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional volatility, skewness and kurtosis and provides a flexible framework to recover the conditional distribution of the future rates. For the estimation, we use maximum likelihood method. Then, we apply the model to Fed Fund futures and discuss its performance.
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Dates et versions

halshs-00368356 , version 1 (15-04-2009)

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  • HAL Id : halshs-00368356 , version 1

Citer

Dominique Guegan, Florian Ielpo. Flexible time series models for subjective distribution estimation with monetary policy in view. Brussels Economic Review , 2008, 51 (1), pp.79-103. ⟨halshs-00368356⟩
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