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END-OF-DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK

โœ Scribed by Susan D. Jordan; David R. Kuipers


Book ID
111215466
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
115 KB
Volume
28
Category
Article
ISSN
0270-2592

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A comparison of futures pricing models i
โœ Brailsford, T.J.; Cusack, A.J. ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 234 KB ๐Ÿ‘ 2 views

Problems associated with pricing tests of index futures include the general inability to trade the underlying index as an individual security, thin trading in the constituent stocks of the index, and the inability to adjust for all dividend payments in the underlying index. These problems are discus