Topics in Nonstationary Time Series
type: CreativeWork
description: The press releases from the Federal Open Market Committee(FOMC) are one of the major inputs to the interest rate futures market. To estimate the impact associated with the FOMC announcements, the random intervention model is used for an empirical study on the Interest Rate Futures markets, using transaction data. 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 reference day for both the Eurodollar and T-Note futures market.
abstract: The press releases from the Federal Open Market Committee(FOMC) are one of the major inputs to the interest rate futures market. To estimate the impact associated with the FOMC announcements, the random intervention model is used for an empirical study on the Interest Rate Futures markets, using transaction data. 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 reference day for both the Eurodollar and T-Note futures market.
author: Choi, Hyunyoung
language: eng
keywords: Statistics
date published: 2015-09-28T16:02:43Z
date modified: 2026-07-22T22:26:30Z
provider: University of Illinois - Urbana-Champaign
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Illinois at Urbana-Champaign

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2142/87400