Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]
futures rates (Krueger and Kuttner, 1996), the FF rate target (Rudebusch, 1995;
Taylor, 2001), and other interest rates … interest rates to which the
FF rate is likely to be linked via no-arbitrage conditions, and FF futures rates, in addition to … futures rates. This model is partly inspired by the recent work of
Krueger and Kuttner (1996) and Kuttner (2001), where it …