Futures-Forward Price Differences and Efficiency in the Treasury Bill Futures Market
Description:
This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futur…
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Date:
May 1986
Creator:
Wong, Alan, 1954-