TREASURY BILL PRICING IN THE SPOT AND FUTURES MARKETS

被引：42

作者：

CAPOZZA, DR

CORNELL, B

机构：

[1] UNIV SO CALIF, LOS ANGELES, CA 90007 USA

[2] UNIV CALIF LOS ANGELES, LOS ANGELES, CA 90024 USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 1979年 / 61卷 / 04期

关键词：

D O I：

10.2307/1935783

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：513 / 520

页数：8

共 11 条

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FAMA, EF .

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[5]

FAMA EF, 1975, AM ECON REV, V65, P269

[6] FORWARD RATES AS PREDICTORS OF FUTURE SPOT RATES [J].

FAMA, EF .

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[7] EXPECTATIONS HYPOTHESIS AND EFFICIENCY OF TREASURY BILL MARKET [J].

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PLATT, EN .

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[8]

NELSON CR, 1971, TERM STRUCTURE INTER

[9] CRITIQUE OF ASSET PRICING THEORY TESTS .1. PAST AND POTENTIAL TESTABILITY OF THEORY [J].

ROLL, R .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (02) :129-176

[10]

ROLL R, 1970, BEHAVIOR INTEREST RA

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