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Market inflation seasonality management

Author

Listed:
  • Nabyl Belgrade

    (CERMSEM et CDC IXIS-CM,R&D)

Abstract

In this paper, we examine various methods in discrete time to extract and estimate the seasonality component of the CPI curve. One estimated, we show how to include this effect in the construction of the forward CPI curve. We then explain how to link it to a continuous time market model. Last but not least, we study the consistency between the various estimation methods, based on the cycle theory

Suggested Citation

  • Nabyl Belgrade, 2004. "Market inflation seasonality management," Cahiers de la Maison des Sciences Economiques b04051, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:b04051
    as

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    File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/B04051.pdf
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    References listed on IDEAS

    as
    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03331510, HAL.
    3. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Post-Print halshs-03331510, HAL.
    4. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Cahiers de la Maison des Sciences Economiques b04050, Université Panthéon-Sorbonne (Paris 1).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Historical & forward CPI curve; decomposition scheme; trend; regular & irregular cycle; replication;
    All these keywords.

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