An intraday test of pricing and arbitrag
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Russell Poskitt
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Article
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2002
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John Wiley and Sons
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English
โ 223 KB
๐ 2 views
## 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