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Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate

Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate »

Source: Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate

Volume/Issue: 2000/206

Series: IMF Working Papers

Author(s): Alessandro Prati , Giuseppe Bertola , and Leonardo Bartolini

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451874594

Keywords: volatility, interest rate, equation, martingale, predictions, reserve requirements

We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targe...

Jumps, Martingales, and Foreign Exchange Futures Prices

Jumps, Martingales, and Foreign Exchange Futures Prices »

Source: Jumps, Martingales, and Foreign Exchange Futures Prices

Volume/Issue: 1996/21

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1996

ISBN: 9781451921649

Keywords: futures prices, martingale, foreign exchange futures, currency futures, statistics

A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures...

The Efficiency of the Japanese Equity Market

The Efficiency of the Japanese Equity Market »

Source: The Efficiency of the Japanese Equity Market

Volume/Issue: 2003/142

Series: IMF Working Papers

Author(s): Jun Nagayasu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451856279

Keywords: Nikkei 225, AFRIMA, ARFIMA-FIGARCH, equity market, stock market, random walk, martingale, Arfina-Figarch, General Financial Markets,

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a lo...

Subordinated Levy Processes and Applications to Crude Oil Options

Subordinated Levy Processes and Applications to Crude Oil Options »

Source: Subordinated Levy Processes and Applications to Crude Oil Options

Volume/Issue: 2005/174

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

ISBN: 9781451861938

Keywords: Characteristic functions, Esscher transform, Fourier transform, Inverse problem, Levy processes, Risk-neutral density, Volatility, crude oil, martingale, probability

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase...

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Source: On the Estimation of Term Structure Models and An Application to the United States

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...

Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate

Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate »

Volume/Issue: 2000/206

Series: IMF Working Papers

Author(s): Alessandro Prati , Giuseppe Bertola , and Leonardo Bartolini

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451874594.001

ISBN: 9781451874594

Keywords: volatility, interest rate, equation, martingale, predictions, reserve requirements

We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targe...

Jumps, Martingales, and Foreign Exchange Futures Prices

Jumps, Martingales, and Foreign Exchange Futures Prices »

Volume/Issue: 1996/21

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1996

DOI: http://dx.doi.org/10.5089/9781451921649.001

ISBN: 9781451921649

Keywords: futures prices, martingale, foreign exchange futures, currency futures, statistics

A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures...

The Efficiency of the Japanese Equity Market

The Efficiency of the Japanese Equity Market »

Volume/Issue: 2003/142

Series: IMF Working Papers

Author(s): Jun Nagayasu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

DOI: http://dx.doi.org/10.5089/9781451856279.001

ISBN: 9781451856279

Keywords: Nikkei 225, AFRIMA, ARFIMA-FIGARCH, equity market, stock market, random walk, martingale, Arfina-Figarch, General Financial Markets,

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a lo...

Subordinated Levy Processes and Applications to Crude Oil Options

Subordinated Levy Processes and Applications to Crude Oil Options »

Volume/Issue: 2005/174

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

DOI: http://dx.doi.org/10.5089/9781451861938.001

ISBN: 9781451861938

Keywords: Characteristic functions, Esscher transform, Fourier transform, Inverse problem, Levy processes, Risk-neutral density, Volatility, crude oil, martingale, probability

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase...

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209583.001

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...