Market inflation seasonality management

Nabyl Belgrade ()
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Nabyl Belgrade: CERMSEM et CDC IXIS-CM,R&D

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: In this paper, we examine various methods in discrete time to extract and estimate the seasonality component of the CPI curve. One estimated, we show how to include this effect in the construction of the forward CPI curve. We then explain how to link it to a continuous time market model. Last but not least, we study the consistency between the various estimation methods, based on the cycle theory

Keywords: Historical & forward CPI curve; decomposition scheme; trend; regular & irregular cycle; replication (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-04
New Economics Papers: this item is included in nep-ets and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:b04051

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