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Treasury Bill Pricing in the Spot and Futures Markets

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  • Capozza, Dennis R
  • Cornell, Bradford

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  • Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
    • Handle: RePEc:tpr:restat:v:61:y:1979:i:4:p:513-20
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    Citations

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    Cited by:

    1. 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.
    2. Charles Dale, 1981. "The hedging effectiveness of currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(1), pages 77-88, March.
    3. Jacobs, Rodney L & Jones, Robert A, 1980. "The Treasury-Bill Futures Market," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 699-721, August.
    4. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    5. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
    6. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    7. Robert W. Kolb & Gerald D. Gay, 1985. "A Pricing Anomaly In Treasury Bill Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 157-167, June.
    8. Anthony J. Vignola & Charles DaleEconomists, 1980. "The Efficiency Of The Treasury Bill Futures Market: An Analysis Of Alternative Specifications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 169-188, June.
    9. Patricia Knain Little, 1986. "Financial Futures And Immunization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 1-12, March.
    10. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 410-425, September.
    11. Crotty, Kevin & Teguia, Alberto, 2017. "Estimating asset pricing models with frictions," Economics Letters, Elsevier, vol. 154(C), pages 24-27.
    12. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.

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