Lévy-stable autoregressive model for the federal funds rate

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Nacera Helal, Tawfiq Fawzi Mami, Hakim Ouadjed

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

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How to Cite
Nacera Helal, Tawfiq Fawzi Mami, Hakim Ouadjed. (2022). Lévy-stable autoregressive model for the federal funds rate. Turkish Journal of Computer and Mathematics Education (TURCOMAT), 13(2), 862–874. https://doi.org/10.17762/turcomat.v13i2.12616
Section
Research Articles