RISK PREMIUMS IN FINANCIAL FUTURES MARKETS - THE CASE OF TREASURY BOND FUTURES

被引:4
作者
RZEPCZYNSKI, MS
机构
关键词
D O I
10.1002/fut.3990070605
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:653 / 662
页数:10
相关论文
共 28 条
[1]   CROSS HEDGING [J].
ANDERSON, RW ;
DANTHINE, JP .
JOURNAL OF POLITICAL ECONOMY, 1981, 89 (06) :1182-1196
[2]   FUTURES MARKET-EFFICIENCY AND THE TIME CONTENT OF THE INFORMATION SETS [J].
BIGMAN, D ;
GOLDFARB, D ;
SCHECHTMAN, E .
JOURNAL OF FUTURES MARKETS, 1983, 3 (03) :321-334
[3]  
Bodie Z., 1980, FINANCIAL ANAL J, V36, P27, DOI [10.2469/faj.v36.n3.27, DOI 10.2469/FAJ.V36.N3.27]
[4]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[5]  
CAGAN P, 1981, J FUTURES MARKETS, V1, P150
[6]   TREASURY BILL PRICING IN THE SPOT AND FUTURES MARKETS [J].
CAPOZZA, DR ;
CORNELL, B .
REVIEW OF ECONOMICS AND STATISTICS, 1979, 61 (04) :513-520
[7]   EFFICIENT ASSET PORTFOLIOS AND THE THEORY OF NORMAL BACKWARDATION [J].
CARTER, CA ;
RAUSSER, GC ;
SCHMITZ, A .
JOURNAL OF POLITICAL ECONOMY, 1983, 91 (02) :319-331
[8]   TREASURY-BILL FUTURES MARKET - A FORMULATION AND INTERPRETATION [J].
CHOW, BG ;
BROPHY, DJ .
JOURNAL OF FUTURES MARKETS, 1982, 2 (01) :25-49
[10]  
EDWARDS F, 1981, J FUTURES MARKETS S, V1