𝔖 Bobbio Scriptorium
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Consistent price systems and arbitrage opportunities of

✍ Scribed by Emmanuel Denis; Yuri Kabanov

Book ID
106235800
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
644 KB
Volume
16
Category
Article
ISSN
0949-2984

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πŸ“œ SIMILAR VOLUMES

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## 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

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