A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
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More about this item
Keywords
Heath-Jarrow-Morton; forward rate; futures; estimation bias;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2005-04-03 (Financial Markets)
- NEP-MAC-2005-04-03 (Macroeconomics)
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