Day-of-the-week effects in federal funds rates: Further empirical findings
Article Abstract:
This paper analyzes the predictable variances of Federal funds returns on a daily and intraday basis and confirms that Federal requirements result in daily and intraday variances which are not constant.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1995
Statistical Data Included, Analysis, Statistics, Interest rates, Government lending, Federal funds market (United States)
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1995
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Fitting prices with a complete model
Article Abstract:
Methods for estimating volatility parameters, using stochastic processes, are presented and their pricing capability is evaluated.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Methods, Usage, Evaluation, Measurement, Stochastic processes, Parameter estimation, Volatility (Finance)
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Subjects list: United States
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