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- W2070999466 abstract "Abstract Any announcement from the Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee (FOMC) are major inputs to the market and the random intervention model is applied to interest rate futures transaction data to measure FOMC announcement impact. Missing prices during non-trading time periods are imputed iteratively during the estimation of model parameters. The study shows that the market trading on the announcement day is different from the market trading on a non-announcement for both the Eurodollar and T-Note futures market." @default.
- W2070999466 created "2016-06-24" @default.
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- W2070999466 date "2006-09-01" @default.
- W2070999466 modified "2023-10-14" @default.
- W2070999466 title "Impact study on the interest rate futures market" @default.
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- W2070999466 doi "https://doi.org/10.1016/j.qref.2006.06.001" @default.
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