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The pricing relationship of eurodollar futures and eurodollar deposit rates

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  • Hung‐Gay Fung
  • Wai K. Leung

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  • Hung‐Gay Fung & Wai K. Leung, 1993. "The pricing relationship of eurodollar futures and eurodollar deposit rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(2), pages 115-126, April.
    • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:2:p:115-126
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    Cited by:

    1. Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B., 1999. "The intraday multivariate structure of the Eurofutures markets," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 479-513, December.
    2. Cheng-few Lee & Keshab Shrestha & Robert Welch, 2007. "Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 163-185, February.
    3. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
    4. Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
    5. Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.

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