𝔖 Bobbio Scriptorium
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Spot and forward rates in the Canadian treasury bill market

✍ Scribed by Soo-Bin Park


Book ID
116126572
Publisher
Elsevier Science
Year
1982
Tongue
English
Weight
522 KB
Volume
10
Category
Article
ISSN
0304-405X

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Cash-futures arbitrage and forward-futur
✍ Linda Allen; Thom Thurston πŸ“‚ Article πŸ“… 1988 πŸ› John Wiley and Sons 🌐 English βš– 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