One-quarter-ahead March 1976 spot rate on 3-month T-bill. Two-quarters-ahead March 1976 spot rate on 3-month T-bill. Three-quarters-ahead March 1976 spot rate on 3-month T-bill. Four-quarters-ahead March 1976 mot rate on 3-month T-bill. 'The rationality of three-quarters-ahead futures forecasts is
Futures rates and forward rates as predictors of near-term treasury bill rates
โ Scribed by S. Scott MacDonald; Scott E. Hein
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 898 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
ince the level of interest rates is so critical to the profitability of many busi-S ness organizations, particularly financial institutions, much time and effort is spent attempting to forecast their probable future course. This activity has become even more critical with today's highly volatile mar
This article is based on the first chapter of the author's doctoral dissertation at the University of California at Berkeley. Thanks are due to the dissertation committee members: Gerard Gennotte, Hayne Leland, Pravin Varaiya, and especially, David Modest. Funding from the Norwegian Council for Rese
Financial futures contracts offer investors a wide variety of spread positions. This article studies two of the most popular types of intercommodity spread strategies on Treasury futures contracts: the note over bond (NOB) spread and the 5-year note over bond (FOB) spread. The NOB and the FOB spread