haku: @author Winters, D.B. / yhteensä: 2
viite: 1 / 2
« edellinen | seuraava »
| Tekijä: | Cyree, K.B. Winters, D.B. |
| Otsikko: | An intraday examination of the Federal funds market: implications for the theories of the reverse-J pattern |
| Lehti: | Journal of Business
2001 : OCT, VOL. 74:4, p. 535-556 |
| Asiasana: | MARKET INFORMATION |
| Vapaa asiasana: | FEDERAL FUNDS INTRADAY |
| Kieli: | eng |
| Tiivistelmä: | The intraday literature suggests that returns, variances, and volume form an intraday reverse-J pattern. Two competing theories explain the observed patterns: private information about future security prices and trading stoppages. The Federal funds market allows a unique opportunity to study the causes of intraday patterns because private information common to most markets does not play a role in setting prices. The authors find reverse-J variance patterns while accounting for generalized autoregressive conditional heteroskedasticity (GARCH) model effects. |
« edellinen | seuraava »
SCIMA