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The Efficiency of the Treasury Bill Futures Market

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  • Rendleman, Richard J, Jr
  • Carabini, Christopher E
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 34 (1979)
    Issue (Month): 4 (September)
    Pages: 895-914

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    Handle: RePEc:bla:jfinan:v:34:y:1979:i:4:p:895-914

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    Cited by:
    1. Anurag Gupta & Marti G. Subrahmanyam, 1999. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-001, New York University, Leonard N. Stern School of Business-.
    2. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
    3. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA.
    4. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 209-232.
    5. Poskitt, Russell, 2008. "Interest rate futures and forwards: Evidence from the sterling futures and FRA markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 399-412, December.
    6. Poskitt, Russell, 2008. "The truth about interest rate futures and forwards: Evidence from high frequency data," Global Finance Journal, Elsevier, vol. 18(3), pages 319-336.
    7. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    8. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, EconWPA.

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