A new marked point process model for the federal funds rate target: methodology and forecast evaluation

DOI10.1016/j.jedc.2008.02.007zbMath1181.91344OpenAlexW2041757202MaRDI QIDQ844722

Kerstin Kehrle, Joachim Grammig

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.02.007

zbMATH Keywords

marked point processforecast evaluationprobability forecastautoregressive conditional hazard modelautoregressive conditional multinomial model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Predictive Model Assessment for Count Data ⋮ What model for the target rate ⋮ A model for policy interest rates ⋮ A competing risks analysis of the duration of federal target funds rates

Cites Work

• Unnamed Item
• Constraints on concordance measures in bivariate discrete data
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Exogeneity
• The Econometrics of Ultra-high-frequency Data
• Forecast Combination and Model Averaging Using Predictive Measures
• Remarks on a Multivariate Transformation

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