A new marked point process model for the federal funds rate target: methodology and forecast evaluation
DOI10.1016/J.JEDC.2008.02.007zbMATH Open1181.91344OpenAlexW2041757202MaRDI QIDQ844722FDOQ844722
Authors: Joachim Grammig, Kerstin Kehrle 
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2008.02.007
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marked point processforecast evaluationprobability forecastautoregressive conditional hazard modelautoregressive conditional multinomial model
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Remarks on a Multivariate Transformation
- Constraints on concordance measures in bivariate discrete data
- The Econometrics of Ultra-high-frequency Data
- Forecast Combination and Model Averaging Using Predictive Measures
- Title not available (Why is that?)
- Exogeneity
Cited In (7)
- Market anticipation of Fed policy changes and the term structure of interest rates
- A model for policy interest rates
- A competing risks analysis of the duration of federal target funds rates
- Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target
- Predicting the direction of the Fed's target rate
- What model for the target rate
- Predictive model assessment for count data
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