Trading Structures And Asset Pricing: Evidence From The Treasury Bill Markets
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- Gupta, Anurag & Subrahmanyam, Marti G., 2000.
"An empirical examination of the convexity bias in the pricing of interest rate swaps,"
Journal of Financial Economics,
Elsevier, vol. 55(2), pages 239-279, February.
- Marti G. Subrahmanyam & Anurag Gupta, 1998. "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 98-068, New York University, Leonard N. Stern School of Business-.
- 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-.
- 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.
- Francis A. Longstaff, 2002. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," NBER Working Papers 9312, National Bureau of Economic Research, Inc.
- Wimschulte, Jens, 2010. "The futures and forward price differential in the Nordic electricity market," Energy Policy, Elsevier, vol. 38(8), pages 4731-4733, August.
- 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.
- 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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Keywordsprices ; market ; risk ; trade policy;
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