Browse OFOR Working Paper Series by Title

  • Chapman, David A.; Long, John B., Jr.; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-09-23)
    The dynamics of the unobservable “short” or “instantaneous” rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the “proxy” problem) are related to the derivatives ...

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  • Ju, Xiongwei; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-10)
    We study a source of bias in value-at-risk estimates that has not previously been recognized. Because value-at-risk estimates are based on past data, a trader will often have a good understanding of the errors in the ...

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