## 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
The pricing of bank bill futures and FRA contracts in New Zealand
โ Scribed by Russell Poskitt
- Book ID
- 108514072
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 183 KB
- Volume
- 38
- Category
- Article
- ISSN
- 0810-5391
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Problems associated with pricing tests of index futures include the general inability to trade the underlying index as an individual security, thin trading in the constituent stocks of the index, and the inability to adjust for all dividend payments in the underlying index. These problems are discus
he volatility of the stock market is a matter of great concern to investors. The high T level of market volatility has attracted regulatory attention since the crash of October 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft