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.
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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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