Garbade and Silber (1983a) , among others] have analyzed the price discovery function of various futures markets. Their results generally support the view that the futures market provides useful information to forecast spot market price movement. This article examines the pricing relationship of E
Forecasting interest rates with eurodollar futures rates
โ Scribed by C. Steven Cole; William Reichenstein
- Book ID
- 102842825
- Publisher
- John Wiley and Sons
- Year
- 1994
- Tongue
- English
- Weight
- 714 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This research was partly funded by a grant from the Coordinating Council of Business Studies at Rutgers University. We gratefully acknowledge the superb research assistance of Steve Alessandrini, and the comments of two anonymous referees. This paper was presented at the 1990 meeting of the Northern
## Abstract Making accurate forecasts of the future direction of interest rates is a vital element when making economic decisions. The focus on central banks as they make decisions about the future direction of interest rates requires the forecaster to assess the likely outcome of committee decisio
ince the level of interest rates is so critical to the profitability of many busi-S ness organizations, particularly financial institutions, much time and effort is spent attempting to forecast their probable future course. This activity has become even more critical with today's highly volatile mar
CCC 0270-7314/93/080865-08 'Spectral density (defined on a frequency domain) is the Fourier cosine transform of the autocorrelation function of a time series. Knowledge of the autocovariance function is mathematically equivalent to knowledge of the spectral density and vice versa.