Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

Abstract

We study a family of 'classical' orthogonal polynomials which satisfy (apart from a three-term recurrence relation) an eigenvalue problem with a differential operator of Dunkl type. These polynomials can be obtained from the little q-Jacobi polynomials in the limit q = -1. We also show that these polynomials provide a nontrivial realization of the Askey-Wilson algebra for q = -1. © 2011 IOP Publishing Ltd.