Article
Lévy-stable autoregressive model for the federal funds rate
Authors
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Abstract
In this paper, we will try to adjust the behaviour of the US Federal Funds interest rate to a model of autoregressive Levy-stable. We will conduct a series of tests after which it will offer the best model for this data series distributed in time, in this case, a linear model type AR (1) stationary whose distribution i.i.d. innovations would be a stable Lévy law and proceed thereafter to the estimation of nine parameters for this model.
Keywords
autoregressive process, Lévy stable distribution, heavy tail
Citation
Helala, N., Mami, T. F., & Ouadjed, H. (2022). Lévy-stable autoregressive model for the federal funds rate. Turkish Journal of Computer and Mathematics Education, 13(2), 862–874.
N. Helala, T. F. Mami and H. Ouadjed, “Lévy-stable autoregressive model for the federal funds rate,” Turkish Journal of Computer and Mathematics Education, vol. 13, no. 2, pp. 862–874, 2022.
Helala N, Mami TF, Ouadjed H. Lévy-stable autoregressive model for the federal funds rate. Turkish Journal of Computer and Mathematics Education. 2022;13(2):862–874.
Helala, N., Mami, T. F. and Ouadjed, H. (2022), ‘Lévy-stable autoregressive model for the federal funds rate’, Turkish Journal of Computer and Mathematics Education, 13(2), pp. 862–874.
Helala, Nacera, et al. “Lévy-stable Autoregressive Model for the Federal Funds Rate.” Turkish Journal of Computer and Mathematics Education, vol. 13, no. 2, 2022, pp. 862–874.
Helala, Nacera, Tawfiq Fawzi Mami, and Hakim Ouadjed. “Lévy-stable Autoregressive Model for the Federal Funds Rate.” Turkish Journal of Computer and Mathematics Education 13, no. 2 (2022): 862–874.
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Published by: Engineering Journals
