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Treasury Bill Pricing in the Spot and Futures Markets

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References

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Cited by

1980Market Incompleteness and Divergences Between Forward and Futures Interest Rates57 cited
1988Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets56 cited
1985Differences between futures and forward prices: A further investigation of the marking‐to‐market effects52 cited
1987Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects38 cited
1992A Comparison of Forward and Futures Prices of an Interest Rate-Sensitive Financial Asset36 cited
1993Arbitrage free pricing of interest rate futures and forward contracts36 cited
1986The relative efficiency of the gold and treasury bill futures markets30 cited
1980THE EFFICIENCY OF THE TREASURY BILL FUTURES MARKET: AN ANALYSIS OF ALTERNATIVE SPECIFICATIONS

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28 cited

1987The Delivery Option on Forward Contracts27 cited

1989Futures rates and forward rates as predictors of near‐term treasury bill rates25 cited