Title:
Sources of Variation in Holding Returns for Fed Funds Futures Contracts, CQER Working Paper 09-03
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Federal Reserve Bank of Atlanta. "Sources of Variation in Holding Returns for Fed Funds Futures Contracts, CQER Working Paper 09-03" in Center for Quantitative Economic Research Working Papers (October 26, 2009). https://fraser.stlouisfed.org/title/7165/item/656233, accessed on December 2, 2023.
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JEL classification: E40, E50, G13
Key words: federal funds, futures, monetary policy, Markov switching