Cash-futures arbitrage and forward-futur
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Linda Allen; Thom Thurston
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Article
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1988
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John Wiley and Sons
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English
β 590 KB
ersistent discrepancies between implied forward rates on the yield curve P and corresponding futures rates have been widely observed. For instance, in one of our samples, eight week-ahead forward-future spreads averaged nearly 70 discount basis points before 1982 and have since averaged about 30 bas