Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]
rate; (ii) the best forecasting model is a simple
univariate model where the future FF rate is forecast using the current … improvements on the best performing model. These results
have a natural interpretation and clear policy implications …
model is a very parsimonious univariate model where the one-day-ahead funds rate is forecast using
the current difference …