Irreversible investment and discounting: an arbitrage pricing approach
β Scribed by Jacco J. J. Thijssen
- Publisher
- Springer
- Year
- 2008
- Tongue
- English
- Weight
- 601 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1614-2446
No coin nor oath required. For personal study only.
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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