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Central bank intervention and the intraday process of price formation in the currency markets

โœ Scribed by Paolo Pasquariello

Book ID
116659044
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
244 KB
Volume
29
Category
Article
ISSN
0261-5606

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An intraday test of pricing and arbitrag
An intraday test of pricing and arbitrage opportunities in the New Zealand bank bill futures market
โœ Russell Poskitt ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 223 KB ๐Ÿ‘ 2 views

## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa