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Title:Topics in Nonstationary Time Series
Author(s):Choi, Hyunyoung
Doctoral Committee Chair(s):Hernando Ombao
Department / Program:Statistics
Discipline:Statistics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Statistics
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.
Issue Date:2005
Type:Text
Language:English
Description:153 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.
URI:http://hdl.handle.net/2142/87400
Other Identifier(s):(MiAaPQ)AAI3198950
Date Available in IDEALS:2015-09-28
Date Deposited:2005


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