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

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Abstract

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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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/B07056.pdf
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Paper 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.

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Length: 27 pages
Date of creation: Oct 2007
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Handle: RePEc:mse:cesdoc:b07056

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Keywords: Subjective distribution; autoregressive conditional density; generalized hyperbolic distribution; Fed Funds futures contracts.;

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Cited by:
  1. 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," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.

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