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Article provided by Federal Reserve Bank of Cleveland in its journal Proceedings.

Volume (Year): (1996)
Issue (Month): Aug ()
Pages: 426-451
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:fip:fedcpr:y:1996:i:aug:p:426-451

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Keywords: Econometric models ; Interest rates ; Euro-dollar market ; Futures;

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3. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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8. Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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9. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile. [Downloadable!]
10. Michael J. Fleming & Eli M. Remolona, 1999. "The term structure of announcement effects," Staff Reports 76, Federal Reserve Bank of New York. [Downloadable!]
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