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An Efficiency Analysis of the T‐Bond Futures Market
8 references·0 citing·27 second hop
An Efficiency Analysis of the T‐Bond Futures Market (1985)An Efficiency Analysis of the T‐Bond Futu…Are there arbitrage opportunities in the treasury‐bond futures market? (1982)Are there arbitrage opportuni…The relation between forward prices and futures prices (1981)The relation between forward …THE EFFICIENCY OF THE TREASURY BILL FUTURES MARKET: AN ANALYSIS OF ALTERNATIVE SPECIFICATIONS (1980)THE EFFICIENCY OF THE TREASUR…Treasury Bill Pricing in the Spot and Futures Markets (1979)Treasury Bill Pricing in the …The Efficiency of the Treasury Bill Futures Market (1979)The Efficiency of the Treasur…Is the Futures Market for Treasury Bills Efficient? (1979)Is the Futures Market for Tre…Using T-bill futures to gauge interest rate expectations (1978)Using T-bill futures to gauge…Testing the Unbiased Expectations Theory of Interest Rates† (1978)Testing the Unbiased Expectat…Theory of the Inverse Carrying Charge in Futures Markets (1948)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Cash‐and‐carry trading and the pricing of treasury bill futures (1984)Futures rates and forward rates as predictors of near‐term treasury bill rates (1989)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The pricing of commodity contracts (1976)Optimal exercise of the switching option in treasury bond arbitrages (1988)Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices (1990)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Market Incompleteness and Divergences Between Forward and Futures Interest Rates (1980)Differences between futures and forward prices: A further investigation of the marking‐to‐market effects (1985)Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets (1988)Short- Term Interest Rates as Predictors of Inflation (2021)The Arc Sine Law and the Treasury Bill Futures Market (1980)Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects (1987)Comparing Futures and Survey Forecasts of Near-Term Treasury Bill Rates (1989)Forward and futures pricing of treasury bills (1981)Issues in futures markets: A survey (1982)The quality option implicit in futures contracts (1984)Optimal international hedging in commodity and currency forward markets (1985)
this work references cited by second hop

References

  • 1981The relation between forward prices and futures prices740 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1979Treasury Bill Pricing in the Spot and Futures Markets70 cited
  • 1978Using T-bill futures to gauge interest rate expectations41 cited
  • 1980THE EFFICIENCY OF THE TREASURY BILL FUTURES MARKET: AN ANALYSIS OF ALTERNATIVE SPECIFICATIONS28 cited
  • 1979Is the Futures Market for Treasury Bills Efficient?21 cited
  • 1982Are there arbitrage opportunities in the treasury‐bond futures market?21 cited
  • 1978Testing the Unbiased Expectations Theory of Interest Rates†19 cited

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