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Trading Structures And Asset Pricing: Evidence From The Treasury Bill Markets

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  • KAMARA, A.
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    Bibliographic Info

    Paper provided by Columbia - Center for Futures Markets in its series Papers with number 169.

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    Length: 25 pages
    Date of creation: 1988
    Date of revision:
    Handle: RePEc:fth:colufu:169

    Contact details of provider:
    Postal: COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A..
    Phone: (212) 854-5553
    Web page: http://www.columbia.edu/cu/business/
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    Related research

    Keywords: prices ; market ; risk ; trade policy;

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    Cited by:
    1. Francis A. Longstaff, 2004. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
    2. 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-.
    3. Wimschulte, Jens, 2010. "The futures and forward price differential in the Nordic electricity market," Energy Policy, Elsevier, vol. 38(8), pages 4731-4733, August.
    4. Longstaff, Francis A., 2001. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," University of California at Los Angeles, Anderson Graduate School of Management qt7dc0t95b, Anderson Graduate School of Management, UCLA.
    5. Doug Rolph, 1999. "Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy," Computing in Economics and Finance 1999 853, Society for Computational Economics.

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