2026-09-22T02:06:16Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/87400 2023-07-11 col_2142_5131 col_2142_17362 com_2142_5130 com_2142_17361 com_2142_8903

Hernando Ombao Choi, Hyunyoung 2015-09-28T16:02:43Z 2015-09-28T16:02:43Z 10000-01-01 2005 2005 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. Made available in DSpace on 2015-09-28T16:02:43Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3198950.pdf: 4355503 bytes, checksum: 23d3b5224fb6520e462a44e5904157ae (MD5) Previous issue date: 2005 Embargo set by: Seth Robbins for item 88681 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 153 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005. http://hdl.handle.net/2142/87400 (MiAaPQ)AAI3198950 eng Statistics Topics in Nonstationary Time Series text Statistics Statistics University of Illinois at Urbana-Champaign Dissertation Ph.D.