Kalda, Ankit; Siddiqui, Sikandar - In: Applied Financial Economics 23 (2013) 8, pp. 671-684
This article shows how to estimate the conditional density of daily changes in the 3-month T-bill rate, using an extension of the kernel-based estimator proposed by Rosenblatt (1969). The shape of the estimated density is allowed to vary with both the level and the lagged change in rates. Due to...