Flexible time series models for subjective distribution estimation with monetary policy in view
AbstractIn 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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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b07056.
Length: 27 pages
Date of creation: Oct 2007
Date of revision:
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Subjective distribution; autoregressive conditional density; generalized hyperbolic distribution; Fed Funds futures contracts.;
Other versions of this item:
- Dominique Guégan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 51(1), pages 79-103.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-01 (All new papers)
- NEP-ECM-2007-12-01 (Econometrics)
- NEP-ETS-2007-12-01 (Econometric Time Series)
- NEP-MAC-2007-12-01 (Macroeconomics)
- NEP-MON-2007-12-01 (Monetary Economics)
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- Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009.
"Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event,"
Elsevier, vol. 37(1), pages 15-28, January.
- Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market : a case-study of the 2006 compliance event," Economics Papers from University Paris Dauphine 123456789/4221, Paris Dauphine University.
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