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

DOI10.1016/J.JEDC.2008.02.007MaRDI QIDQ844722zbMATHOpenAlexFDO

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

zbMATH Keywords

marked point processforecast evaluationprobability forecastautoregressive conditional hazard modelautoregressive conditional multinomial model

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1724301 (Why is no real title available?)
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Constraints on concordance measures in bivariate discrete data
• Exogeneity
• Forecast Combination and Model Averaging Using Predictive Measures
• Remarks on a Multivariate Transformation
• The Econometrics of Ultra-high-frequency Data

Cited in

(7)

• Predictive model assessment for count data
• 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
• What model for the target rate
• 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

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