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.

Statistical Data Included, Analysis, Statistics, Interest rates, Government lending, Federal funds market (United States)

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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.

Methods, Usage, Evaluation, Measurement, Stochastic processes, Parameter estimation, Volatility (Finance)

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