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

Dominique Guegan and Florian Ielpo
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Dominique Guegan: Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Subjective distribution; autoregressive conditional density; generalized hyperbolic distribution; Fed Funds futures contracts (search for similar items in EconPapers)
JEL-codes: C51 E44 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-10
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-mon
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Published in Brussels Economic Review, 51, (1), 2008, pp.79-103

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https://shs.hal.science/halshs-00188247 (application/pdf)

Related works:
Journal Article: Flexible time series models for subjective distribution estimation with monetary policy in view (2008)
Working Paper: Flexible time series models for subjective distribution estimation with monetary policy in view (2008)
Working Paper: Flexible time series models for subjective distribution estimation with monetary policy in view (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b07056

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