In:
Advances in Mathematics: Scientific Journal, Union of Researchers of Macedonia, Vol. 11, No. 5 ( 2022-5-12), p. 433-451
Abstract:
In this paper, we will try to adjust the behavior 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.
Type of Medium:
Online Resource
ISSN:
1857-8365
,
1857-8438
DOI:
10.37418/amsj.11.5.2
Language:
Unknown
Publisher:
Union of Researchers of Macedonia
Publication Date:
2022
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