Macroeconomic risk and Treasury bill pricing: an application of the Factor-Arch model
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Bibliographic InfoPaper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 93-25.
Date of creation: 1993
Date of revision:
Other versions of this item:
- Keith Sill, 1995. "Macroeconomic risk and Treasury bill pricing: an application of the FACTOR-ARCH model," Working Papers 93-25/R, Federal Reserve Bank of Philadelphia.
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- Elder, John, 2001. "Can the Volatility of the Federal Funds Rate Explain the Time-Varying Risk Premium in Treasury Bill Returns?," Journal of Macroeconomics, Elsevier, vol. 23(1), pages 73-97, January.
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