What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion
Dong-Jie Fang, Zong-Wei Yeh, Jie-Cao He, Shih-Kuei Lin
| Year of publication: |
2024
|
|---|---|
| Authors: | Fang, Dong-Jie ; Yeh, Zong-Wei ; He, Jie-Cao ; Lin, Shih-kuei |
| Subject: | Secured Overnight Financing Rate (SOFR) | SOFR futures | Arbitrage-free Nelson-Siegel model with jump diffusion (AFNSJ) | Federal Open Market Committee (FOMC) meeting | Particle filter |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2024.102392 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015095106