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Commodity prices and monetary policy

Joseph A. Whitt, Jr. - Federal Reserve Bank of Atlanta - 1988

Persistent link: https://www.econbiz.de/10005402039

Option pricing with random volatilities in complete markets

Eisenberg, Laurence K.; Jarrow, Robert A. - Federal Reserve Bank of Atlanta - 1991

Persistent link: https://www.econbiz.de/10005721625

Spline methods for extracting interest rate curves from coupon bond prices

Waggoner, Daniel F. - Federal Reserve Bank of Atlanta - 1997

Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, more recently, Fisher, Nychka, and Zervos used smoothed splines, with the roughness penalty selected by...

Persistent link: https://www.econbiz.de/10005721697

A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - Federal Reserve Bank of Atlanta - 1997

which current volatility is easily estimated from historical asset prices observed at discrete intervals. Empirical analysis … Black-Scholes model is updated every period and uses implied volatilities from option prices, while the parameters of the … GARCH model are held constant and volatility is filtered from the history of asset prices. The improvement is due largely to …

Persistent link: https://www.econbiz.de/10005721728

Vague preferences, noisy markets, and other parables concerning the informational role of prices

Madrigal, Vicente; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005721752

Inflation, trade frictions, and productive activity in a multiple-matching model of money

Laing, Derek; Li, Victor E.; Wang, Ping - Federal Reserve Bank of Atlanta - 2000

This paper investigates the relationship between money growth, inflation, and productive activity in a general equilibrium model of search. The use of a multiple-matching technique, where trade frictions are captured by limited consumption variety, allows us to study price determination in a...

Persistent link: https://www.econbiz.de/10005721758

Some implications of risk neutrality for time variation in stock returns

Best, Ronald W.; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005514537

A new method of testing pricing models as applied to forward interest rate models

Cohen, Hugh; Heath, David - Federal Reserve Bank of Atlanta - 1992

Persistent link: https://www.econbiz.de/10005514578

Jump risk, time-varying risk premia, and technical trading profits

Feng, Chenyang; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1997

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

Persistent link: https://www.econbiz.de/10005401866

Risk neutral valuation, asymmetric information, and the efficient markets hypothesis

Madrigal, Vicente; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1992

Persistent link: https://www.econbiz.de/10005401894