Baig, Ahmed S.; Winters, Drew B. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-16
The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns of decreased volatility along with consistent...
