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Are there arbitrage opportunities in the treasury‐bond futures market?
16 references·3 citing·37 second hop
Are there arbitrage opportunities in the treasury‐bond futures market? (1982)Are there arbitrage opportunities in the …Interest rate futures: A comprehensive introduction (1982)Interest rate futures: A comp…The relation between forward prices and futures prices (1981)The relation between forward …Forward contracts and futures contracts (1981)Forward contracts and futures…Forward and futures pricing of treasury bills (1981)Forward and futures pricing o…Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…THE EFFICIENCY OF THE TREASURY BILL FUTURES MARKET: AN ANALYSIS OF ALTERNATIVE SPECIFICATIONS (1980)THE EFFICIENCY OF THE TREASUR…Market Incompleteness and Divergences Between Forward and Futures Interest Rates (1980)Market Incompleteness and Div…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…Is the Futures Market for Treasury Bills Efficient? (1978)Is the Futures Market for Tre…A Comparison of Yields On Future Contracts and Implied Forward Rates (1978)A Comparison of Yields On Fut…The pricing of commodity contracts (1976)The pricing of commodity cont…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices (1990)Quality Option Profits, Switc…Optimal exercise of the switching option in treasury bond arbitrages (1988)Optimal exercise of the switc…An Efficiency Analysis of the T‐Bond Futures Market (1985)An Efficiency Analysis of the…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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)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)A Simple Approach to the Valuation of Risky Streams (1978)A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory. (1939)Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments (1989)Contracting Innovations and the Evolution of Clearing and Settlement Methods at Futures Exchanges (2006)Futures rates and forward rates as predictors of near‐term treasury bill rates (1989)Do treasury bill futures rates satisfy rational expectation properties? (1991)A comparison of futures and forward prices (1983)A cointegration test for market efficiency (1991)Is normal backwardation normal? (1992)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

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1981Forward contracts and futures contracts234 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1979Treasury Bill Pricing in the Spot and Futures Markets70 cited
  • 1980Market Incompleteness and Divergences Between Forward and Futures Interest Rates57 cited
  • 1978Is the Futures Market for Treasury Bills Efficient?42 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
  • 1978A Comparison of Yields On Future Contracts and Implied Forward Rates22 cited
  • 1981Forward and futures pricing of treasury bills21 cited
  • 1979Is the Futures Market for Treasury Bills Efficient?21 cited

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1982
Interest rate futures: A comprehensive introduction
17 cited

Cited by

  • 1990Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices20 cited
  • 1988Optimal exercise of the switching option in treasury bond arbitrages16 cited
  • 1985An Efficiency Analysis of the T‐Bond Futures Market16 cited