ANALYSIS OF FEDERAL FUNDS RATE CHANGES AND VARIANCE PATTERNS
- 1 September 2001
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 24 (3) , 403-418
- https://doi.org/10.1111/j.1475-6803.2001.tb00777.x
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- The Daily Market for Federal FundsJournal of Political Economy, 1996
- Day-of-the-week effects in federal funds rates: Further empirical findingsJournal of Banking & Finance, 1995
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance, 1993
- Bank window dressing: Theory and evidenceJournal of Banking & Finance, 1992
- ARCH modeling in financeJournal of Econometrics, 1992
- Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica, 1991
- The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate VariabilityJournal of Financial and Quantitative Analysis, 1988
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982