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Federal funds rate target changes and interest rate volatility · Study

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ArticleFederal funds rate target changes and interest rate volatility

Jim Lee2002

Article2002

Federal funds rate target changes and interest rate volatility

18 citations·0/0 files stored·Journal of Economics and Business

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1995Multivariate Simultaneous Generalized ARCH

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2012Monetary Policy and Long-Term Real Rates

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Year2002

Typearticle

Published2002-03-01

VenueJournal of Economics and Business

ISSN-L0148-6195

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0148-6195(01)00061-3

openalex_workW2011816196

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