๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Liquidity premiums and the expectations hypothesis

โœ Scribed by Robert A. Jarrow


Book ID
117528795
Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
369 KB
Volume
5
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Interest rate futures: Evidence on forec
โœ Tim Krehbiel; Lee C. Adkins ๐Ÿ“‚ Article ๐Ÿ“… 1994 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 678 KB

Due to the convergence of the futures contract price to the spot price at delivery, it has been hypothesized that a component of the futures price is the expectation of the spot price on the delivery date. The extent to which a futures contract price reflects unbiased expectations of the spot price

Time-varying term premium in T-bill futu
โœ Jae Ha Lee; Hoje Jo ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 704 KB

This paper examines time-varying term premium in the T-bill futures rate to determine its significance for the expectations hypothesis (EH). Similar to previous studies on the T-bill forward rates, our data reject the joint hypothesis of the EH and the rational expectations hypothesis (RE). Under th

The expected value premium
โœ Long Chen; Ralitsa Petkova; Lu Zhang ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 210 KB