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L'intégration de l'information dans le prix des actifs financiers

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Figure 1.1: R 2 study for Fed fund futures contracts, using 77 contracts of maturities ranging from November 2000 until March 2007.
Figure 1.2: Average (annualized), volatility (annualized), skewness and kurtosis of the log-returns of full sample.
Figure 1.3: Engle (1982)’s T × R 2 test for autoregressive moments. The plain black line indicates the χ 2 quantile used to test the null hypothesis.
Figure 1.4: Implicit monetary policy scenario probabilities around January, 31 st 2006.
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