Flexible time series models for subjective distribution estimation with monetary policy in view
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- 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.
- Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356, HAL.
- Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188247, HAL.
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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," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
More about this item
KeywordsSubjective distribution; autoregressive conditional density; generalized hyperbolic distribution; Fed Funds futures contracts;
- 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
NEP fieldsThis 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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