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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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Crotty, Kevin & Teguia, Alberto, 2017. "Estimating asset pricing models with frictions," Economics Letters, Elsevier, vol. 154(C), pages 24-27.
    6. 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.
    7. 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.
    8. 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.
    9. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    10. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
    11. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    12. 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.

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